In standard English, collective nouns such as “jury” are typically treated as singular. The only exception is when the sentence refers to individual members of the jury's actions. Hence, we need to use "was divided", taking jury as a singular noun. And also, "it returned" is to be used instead of "they returned." 

Hence, the standard and correct sentence is, 
At first the jury was divided in opinion, but finally it returned a unanimous verdict.