Welcome to my world! Every agent has many stories about buyers who don't do what they say they will, it happens too often.
Your purchase contract probably called for the buyer to place their deposit into escrow within three days of you accepting their offer. I presume three days have passed. Your agent should issue a "Notice to Perform" instructing the buyers that if they do not place their money in escrow you will cancel the deal. The purchase contract specifies how long the buyers have to perform once you have given them this notice, it is probably 48 hours. Once the time frame passes, you are free to accept another offer.
You probably won't have any problems with the first buyers changing their mind and suddenly wanting to buy your home but just to be sure you should follow the steps outlined above. Good luck with your next set of buyers...