I have proved that $\overline{A}\le\overline{B}$ is true, but I have no idea how to prove or disprove the opposite direction.
2 Answers
The claim is false. There are several ways to show it. Note that if $\overline{B} \leq_m \overline{A}$, then $B\leq_m A$ (this is what you've shown). Hence, if by contradiction the claim is true, then we can write it as $A \leq _m B \to B\leq_m A$, which is clearly wrong. Why? because it simply says "if $B$ is harder than $A$, then $A$ is harder than B". Hence, an immediate classical counter-example would be, an "easy" problem $A\in \text{R}$, and a "hard" problem $B\notin \text{R}$.
Edit: I focused on the intuition that you should have when reading such claims. If you do not see immediately why what I wrote serves as a counter-example, then I suggest to think about it, or you can note that every non-trivial language is $R$-hard.
No. Take $A = \emptyset$ and $B = \{0\}$. A reduction $f$ from $A$ to $B$ is the function $f(x) = \varepsilon$ since $x \not\in A$ (regardless of the choice of $x$) and $\varepsilon\not\in B$. However $0 \not\in \overline{B}$ and there is no function $g$ such that $g(0) \not\in \overline{A} = \Sigma^*$, hence there is no reduction from $\overline{B}$ to $\overline{A}$.