The other three knights, Artorias the Abysswalker, Lord's Blade Ciaran and Hawkeye Gough, are only mentioned; Artorias is deceased by the events of the game, and the fates of the other two are left unrevealed, although they are presumed deceased as well.
Ornstein is believed to be the captain of the Four Knights. He is also the only one who must die by the player's hand in order for the story to progress. It is rumored his spear is powerful enough to cut a giant boulder in two.
It is implied that the Ornstein the Chosen Undead encounters is but an illusion, and the real one left Anor Londo to search for the Nameless King. In Dark Souls 3 after encountering the Nameless King boss fight his armor can be found in the boss fight arena on Archdragon Peak implying that he did reach the Nameless King, however, it is not on a corpse, meaning he may have simply left it behind.
Artorias had an unbreakable will of steel  and his skill with greatswords was unmatched, making him a fierce opponent. Additionally, he was known as the first mortal to traverse the Abyss and was widely known as the strongest of Gwyn's knights.
Although Artorias is only scarcely mentioned during the Chosen Undead's journey to the Kiln of the First Flame, he is one of the many obstacles the Chosen Undead encounters in Oolacile. Gravely injured and corrupted by the Abyss by the time he is encountered, Artorias still proves a formidable foe although the Chosen Undead eventually prevails. Hawkeye Gough will thank the player for setting Artorias free with honor.
Artorias' left arm is near useless due to being harshly damaged, presumably while protecting his companion, Sif, the Great Grey Wolf, who fought alongside Artorias in the Abyss. Artorias saved Sif from corruption by using his Greatshield to create a magic barrier around the wolf, shortly before succumbing to the Abyss himself.
Lord's Blade Ciaran was part of the Lord's Blades, a group of assassins in the employ of Gwyn. Known for her unique porcelain mask and annihilating Gwyn's enemies. The Chosen Undead encounters her grieving in the arena where they fought Artorias.
Sensing the presence of her compatriot's soul, she requests the Chosen Undead to give it to her, so she may pay proper respect to Artorias.
By the time the Chosen Undead meets him, Gough is blind. Upon their first encounter, he thanks the Chosen Undead for slaying Artorias, allowing the corrupted knight to die with his honor intact.
Despite being blind, Gough was still a great sharpshooter. He proves this by shooting Kalameet out of the sky, on the Chosen Undead's request. This allowed the Chosen Undead to fight the dragon on more equal footing, eventually leading to the latter's demise.
Each of the Four Knights was gifted a unique ring imbued with special powers. The Chosen Undead can find them scattered throughout Lordran, and their item descriptions give minor insight into who the knights were and what they did.
Engraved with a hornet, the Hornet Ring belonged to Lord's Blade Ciaran. Increasing the power of critical attacks, it allows its wearer to lay waste to their foes much like how Ciaran did to Lord Gwyn's enemies.