The Shitennou (四天王; meaning "Four Heavenly Kings") were the four loyal and faithfully devoted generals and bodyguards of Prince Endymion. When they were all possessed by Metalia's vast negative energy, they became evil and served Queen Beryl and the Dark Kingdom. The members were Jadeite, Nephrite, Zoisite, and Kunzite. Each of them were named after a different stone.
They were simply Beryl's loyal and devoted generals with no references to their past lives as servants of Prince Endymion whatsoever; nor was they any slightest indication that they had any romantic relationships with Sailors' Mercury, Mars, Jupiter, or Venus. They were often rivals and were discarded once they were no longer useful or severed their purposes.
Queen Beryl had ruthlessly murdered both Zosite and Jadeite, while Nephrite had brutally died at the hands of Zosite herself, and Kunzite had perished by Sailor Moon's supremely strong Moon Healing Escalation attack combined with the almighty Silver Crystal's own abilities. After which, they were never seen or heard from again in future seasons.
They were originally the guardians of Prince Endymion. Suspicious of The Moon and its constant surveillance of Earth, they often argued with their prince about it. Their suspicion led them to turn on the prince and turn to Beryl. Despite this, they still cared for their prince and were shocked by his death. They are still rivals but also care for each other and are shocked by each other's deaths. When the Silver Crystal appeared, it returned the dead Jadeite, Nephirite, and Zoisite to life and returned Kunzite's memories of the past. They then dissolved into stones bearing their name, as did Kunzite when he is later killed. They later speak to Mamoru through the stones, telling him how Metalia could be killed and to be happy. Mamoru kept these stones and called on their spirits for advice and guidance throughout the manga.
Romances with the Sailor Soldiers of the Inner Solar System
Naoko Takeuchi drew a picture at the conclusion of the manga, showing each general posed with a Sailor Senshi: Zoisite with Ami, Jadeite with Rei, Nephrite with Makoto and Kunzite with Minako. Naoko claims she was thinking of the past lives of these lovers, which implies a possible love affair between the four inner Sailor Senshi and Shitennou in the past. However, only Kunzite's relationship with Sailor Venus and Jadeite's with Sailor Mars have canonical support and the issue is debated by fandom.
Pretty Guardian Sailor Moon
The live-action series combined elements from the anime and manga: the Shitennou were still Mamoru's guardians, and were also evil and vying for Queen Beryl's attention. They could also come back after being killed, unlike in the other two continuities, so the relationships lasted longer and were more complicated. They were also closer to being human, with Nephrite being turned into one and Kunzite being turned from one. Their personalities were developed and their memories of the past life were much closer to the surface, which resulted in more tension with Mamoru. This was especially apparent with Kunzite, who blamed his master for what happened to the planet Earth. Their character designs were also completely redone. In special act the Shitennou work with Mamoru so they can defeat Queen Mio.
MusicalsThe Shitennou appeared in several of the musicals, with slightly different roles in each. In "Pretty Soldier Sailor Moon ~ An Alternate Legend - Dark Kingdom Revival Story", the Shitennou were romantically paired with the Inner Senshi, making the musicals the only version of the series in which those relationships were canon. In "Pretty Soldier Sailor Moon ~ Starlights - Legend of the Shooting Stars", they appeared again disguised as the "Jewel Metalias." The musical "Pretty Soldier Sailor Moon ~ The Advent of Princess Kakyuu - The Second Stage Final" introduced a group that called itself the "Neo Shitennou," and included three members who were not in the original group. The members of the Neo Shitennou were Kunzite, Hematite, Hiddenite, and Kalunite. No explanation was given for why they had different names, although Hematite, Hiddenite, and Kalunite strongly resembled Zoisite, Nephrite, and Jadeite respectively. They worked with the reborn Queen Beryl under Sailor Galaxia, though the five of them were simultaneously plotting ways to get out from under the powerful Senshi's rule. As part of their plans, they had civilian guises as the "Jewel Managers."
Second AnimeIn this newer anime, the Heavenly Kings are much more like their manga counterparts. Unlike the first anime, they are not rivals and cooperate more like teammates. Queen Beryl did not try to destroy them for failure, or threaten them for doing so, and they survive for much longer unlike in the manga. Like the manga, they were the most loyal and devoted servants of Prince Endymion during the age of Silver Millennium, and they recovered these memories in Episode 10; only for Queen Beryl to brainwash them again. In the same episode, they are revealed to be the former boyfriends/sweethearts of the four inner Sailor Soldiers when they had followed their Princess to Earth.
They were finally fully released from Queen Metalia's control when their girlfriends' combined their own Sailor powers to perform Sailor Planet Attack. Before they could have a proper heartfelt reunion, however, Queen Metalia intervened and obliterated their physical selves entirely. Distraught and heartbroken, their voices reminded the Sailor Senshi about their true mission and not to cry.
Although their physical bodies have perished, their strong spirits/souls still exist within their respective colored stones to give advice, guidance, and wisdom to their one true master. In the twelve episode, their stones had protected their master from being stabbed to death by the sacred, holy sword to return Prince Endymion to life once again. The spirit of Kunzite later appeared and gave Endymion vital information on how to eliminate Queen Metalia once and for all. The other three then appeared and assured Mamoru that they would always stay by his side and knew that he and his Princess would live happily ever.
In Episode 18, Mamoru had used his newfound mystical abilities to call upon his four subordinates. Kunzite had said that he detected very strong evil energy coming from the Black Crystal earring, and that he, Endymion, needed to believe strongly enough in his own abilities if he wanted to protect the person most dear to him.
Apparently the Shitennou refer to Buddhist figures. For some more details see Aurorean or this art and architecture site. Starting in the East and moving clockwise they are Jikokuten, the guardian or watcher, who carries a sword; Zouchoten, the one who enlarges/grows (ideally wisdom), who carries spear and sword or halberd and sword; Koumokuten, the one who sees all, with brush and scroll or fist and three pronged spear; and Tamonten, who hears all things, with stupa and umbrella or halberd or spear, also sometimes a mongoose. Note that this is how they appear in Japanese iconography; their appearance in other traditions is different.