They are the servants of Atman - the manifestation of the darkness of the inner-self.
They appear to have once existed in the physical world before being defeated by Yuri. However, due to Alice Elliot's tremendous mystical powers, they and the Graveyard are inadvertently given form, becoming negative aspects of his psyche - greed, fear, anger, and envy.
He is quick to recognise them, though his threats against them are met with mockery and taunts, as with enough malice borne from the vengeance of fallen monsters that accumulates in his cursed talisman, they are able to manifest his greatest fear; Fox Face.
Wishing death and torment upon him, they are also able to manifest Evils and Gusts that Yuri can battle to purge the malice - though this is only temporary - and they delight in reminding him that he cannot run forever.
After events in China, where Yuri tried, and failed, to fuse with an exceptionally powerful being it left him crazed, feral, and longing for death.
After facing Yuri in battle, Alice awoke in the Graveyard. She confronted the Four Masks, to their amusement, asking for to help Yuri. They questioned her motivations, puzzled at her selfless devotion, and curious about the concept of "love".
They agreed to help, but told her there would be a price; were she to help, and enter further into his soul, she would be cursed to share the burden of his karma, and that they would one day claim her soul.
She agreed without hesitation, and managed to save Yuri from his inner darkness.
True to their word, however, while Yuri was now freed from their power, malice would accumulate around Alice instead, and allow the Four Masks to fully manifest in the physical world, attempting to take her soul.
Canonical (Bad) EndingEdit
Before entering the Neameto Float, during a dream, Alice awoke once more inside the Graveyard, summoned there to fufil her bargin with the Masks.
They opened the door to darkness, where she met with their master, Atman, who completed the ritual of the "Curse of Death", and began devouring her soul.
She managed to linger in the physical world, before finally succumbing on a train to Zurich, dying in Yuri's arms, ridding him of his burden, and seemingly also the Four Masks, as they are absent in Shadow Hearts: Covenant.
For the good ending, the player must have obtained the Oath Grail and defeat the Four Masks in order; Grail, Gold, Staff and Sword.
During the ritual with Atman, it is interrupted by Yuri, who forced himself past the Masks, and barged in to rescue Alice. Together, they managed to defeat Atman.
With their protector defeated, and the curse broken, the Four Masks lose all power they held over Yuri and Alice, and are terrified of him, even going so far as to apologise for cursing Alice.
Their influence gone, they trouble Yuri no more.