Proof by induction.
Induction basis: $n=1$. $f_1=f_1$.
Let an be any convergent sequence such that $a_n \to a$. Since $f_{n-1}(x)$ is continuous, $f_{n-1}(a_n) \to f_{n-1}(a)$ as $a_n \to a$. Since $f_n(x)$ is continuous, $f_n(f_{n-1}(a_n)) \to f_n(f_{n-1}(a))$ as $a_n \to a$ as required. I'm not sure if this is sufficient to prove the case. Do I need to get into an induction proof using $\varepsilon$ and $\delta$?
You don't need to get into $\varepsilon$s and $\delta$s; sequential continuity is fine.
That said, you've only established that $f_n \circ f_{n-1}$ is continuous, not $f_n \circ f_{n-1} \circ \ldots \circ f_1$. You also haven't used the assumption that $f_{n-1} \circ f_{n-2} \circ \ldots \circ f_1$ is continuous, which is your inductive hypothesis. Basically, your proof can be fixed up by replacing $f_{n-1}$ with $f_{n-1} \circ \ldots \circ f_1$ in your inductive step.
That is, if $a_m \to a$, then by assumption, $$(f_{n-1} \circ \ldots \circ f_1)(a_m) \to (f_{n-1} \circ \ldots \circ f_1)(a)$$ as $m \to \infty$. Since $f_n$ is continuous, $$f_n((f_{n-1} \circ \ldots \circ f_1)(a_m)) \to f_n((f_{n-1} \circ \ldots \circ f_1)(a)),$$ that is, $$(f_n \circ f_{n-1} \circ \ldots \circ f_1)(a_m) \to (f_n \circ f_{n-1} \circ \ldots \circ f_1)(a)$$ as $m \to \infty$.
Note also the use of $m$ instead of $n$. This is important, because the inductive hypothesis fixes $n$. You assume the proposition holds for some $n$ that is fixed, but unknown. If you want to use a separate sequence like $(a_m)$, pick another pronumeral.