The two are unhappy for different reasons. Lady Macbeth thought that Duncan's murder would be the means to secure all that the couple wanted. She had no idea how much the guilt of such a deed would affect her husband and ultimately her. She thought a "little water [would] cleanse us of this deed" and that would be the end of it. Yet we see in Act 3 that Lady Macbeth is anything but happy. In fact she wishes that she were Duncan: "Tis safer to be what we destroy/ Than by destruction dwell in doubtful joy." She has all but lost her husband. They are no longer close. And, I think she wanted Duncan killed so that Macbeth could fulfill his ambition to be king. She wanted to help her husband achieve his ambition. But instead of making him happy, being king has made Macbeth miserable and therefore Lady Macbeth as well.
Lady Macbeth is unhappy because she feels alienated from her husband; Macbeth is miserable because of his guilt. After killing Duncan, he is immediately and deeply remorseful. He wishes he could take back the deed. But in Act 2 he sees no way out of this path that he has taken. He thinks that since he has lost his soul in killing Duncan, that more killing is necessary to ensure that he has not lost his soul in vain. So he decides to have Banquo and his son killed, since according to the witches, Banquo's sons will be kings.
But even the murder of Banquo does not make Macbeth feel "safe." He realizes that there are many, including the powerful Macduff, who do not like him and are plotting against him, and he cannot turn back now:
I am in blood
Stepped in so far that, should I wade no more,
Returning were as tedious as go o'er.
Murdering seems to be Macbeth's solution to problems, yet the murders prey on his conscience so much that by Act 5, he feels that his life is nothing "but a walking shadow."
At the beginning of the play, Macbeth and Lady Macbeth are a close and loving couple. By Act III, this relationship no longer exists. Macbeth doesn't share his plans with his wife to kill Banquo and Fleance, indicating that he no longer involves her in his decisions or plans. By this point, Macbeth is too self-absorbed to care about what Lady Macbeth thinks and feels. When Macbeth sees the ghost of Banquo at the feast, Lady Macbeth is unable to control him, and she must send the guests home. This marks the turning point in their relationship because Macbeth is now out of Lady Macbeth's grasp. She had convinced Macbeth in the beginning to kill Duncan, but now she cannot get through to him when he talks to the ghost. When Lady Macbeth tries to talk to him about it after the feast, he tells her there is nothing to worry about. Instead of confiding in his wife, he now depends on the witches and looks to them for guidance.