In X-Men: Apocalypse, four mutants join the villainous Apocalypse in his journey to conquer the world: Magneto, Storm, Angel, and Psylocke. In the comics, the ancient mutant has always surrounded himself by four horsemen. Some of which were villains, and some of which were heroes. While there's been plenty of Horsemen in What If? stories and alternate timelines, we're just looking at the ones from Marvel's main continuity.
Archangel
X-Men member Angel had his wings destroyed in battle. Apocalypse offered to restore them to him, so Angel joined his cause. He was given metal, blue skin, and brainwashed into becoming the Horseman known as Death. It took Iceman faking his own death, at Archangel's hands, to undo the brainwashing.
Contained within the X-Men: Fall of the Mutants collection.
Abraham Kieros
Kieros became paralyzed during the Vietnam war. Apocalypse gave him the ability to move again and unlocked his latent mutant abilities. Kieros became War and gained the ability to create explosions through kinetic contact. He usually created these explosions by clapping his hands.
Contained within the X-Men: Fall of the Mutants collection.
Autumn Rolfson
Autumn was a mutant who had the ability to disintegrate organisms. She was a spoiled and angry girl who jumped at the chance to join Apocalypse, becoming the Horseman known as Famine.
Contained within the X-Men: Fall of the Mutants collection.
Plague
Plague was a member of the underground mutant group known as The Morlocks. They were outcasts to society. She had the ability to absorb any disease around her and pass it onto someone else through contact but at an amplified level. She became Apocalypse's Horseman known as Pestilence.
Contained within the X-Men: Fall of the Mutants collection.
Hulk
For a couple of months in the late '90s, Hulk became Apocalypse's Horseman of War. As we've seen in the past, Apocalypse is great at manipulating people, and Hulk was no exception. It took Hulk's friend Rick Jones almost dying for Hulk to break free of Apocalypse's grasp.
However, there were no other Horsemen present for this two-issue story.
Hulk #456-457
Deathbird
Apocalypse has a plan to gather twelve mutants to drain to amplify his own power. He decides to gather a new group of Horsemen to aid him. Deathbird became War in order to help Apocalypse gather the mutants he needed.
Contained within the X-Men vs. Apocalypse: The Twelve collection.
Wolverine
The most surprising addition to Apocalypse's new Horsemen was Wolverine as Death. During this time, Wolverine lost his adamantium skeleton. Apocalypse gave it back to him, but this resulted in Wolverine falling into the villain's programming. Because of this, Wolverine ended up fighting his own X-Men brothers. Eventually, Wolverine broke free.
Contained within the X-Men vs. Apocalypse: The Twelve collection.
Caliban
When Archangel broke free of Apocalypse's control, as the Horseman Death, Apocalypse replaced him with the Morlock Caliban. Eventually, Caliban broke free and became a member of X-Force. However, years later, Caliban ended up becoming a Horseman again. This time, Apocalypse gave him the ability to spread disease, telepathically. Caliban was then dubbed "Pestilence" during "The Twelve" storyline. He was set free once Cable defeated Apocalypse.
Contained within the X-Men vs. Apocalypse: The Twelve collection.
Ahab
The mutant tracker known as Ahab was transformed into Famine and given the task to hunt down the mutant known as Sunfire, which was on of the mutants known as "The Twelve."
Contained within the X-Men vs. Apocalypse: The Twelve collection.
Gazer
Years later, Apocalypse recruited a whole new group of people to become his Horsemen. He reached out to Gazer, a mutant who lost his powers during the infamous "M-Day." Apocalypse increased Gazer's size and mass during a long and painful procedure. Gazer's tenure was short-lived as he was killed by Ozymandias, Apocalypse's scribe because Gazer refused to betray his master.
Contained in X-Men: Blood Of Apocalypse.
Sunfire
During a battle with Lady Deathstrike, Sunfire allowed Rogue to drain his powers. In addition, he also lost his legs in battle. Apocalypse took Sunfire, gave him his legs, his powers, and a costume that looked a lot like his costume from the Age of Apocalypse storyline. He became the Horseman Famine.
Contained in X-Men: Blood Of Apocalypse.
Polaris
Polaris also lost her powers during "M-Day." She was kidnapped by Apocalypse and turned into Pestilence. She gained the ability to ingest and create plagues. In addition, she also gained her magnetic manipulation powers back. She later resisted Apocalypse's programming and rejoined the X-Men.
Contained in X-Men: Blood Of Apocalypse.
Gambit
Gambit joined Apocalypse as a double-agent, in hopes of getting close enough to stop the villain. He became the Horseman Death, and gained the ability to transmute gases into poisons, remotely. The transformation also turned his skin black. After Apocalypse was defeated, Gambit went insane for a short while because of the brainwashing, but eventually, everything went back to normal.
Contained in X-Men: Blood Of Apocalypse.
Decimus Furius
Decimus was originally from Rome around 220 AD. After his parents died, he transformed into a mutant while starving to death. He became what looks like a minotaur. He slaughtered many combatants in the arena, and Apocalypse felt he was the living embodiment of War.
Contained in Uncanny X-Force by Rick Remender collections.
Jeb Lee
Jeb witnessed his family being killed in front of him during the American Civil War. The distress caused his latent mutant ability to manifest, which allows him to create an audible cancer from his drum, which kills everyone that hears it. Apocalypse was impressed with Jeb and made him Famine in his "Final Horsemen."
Contained in Uncanny X-Force by Rick Remender collections.
Sanjar Javeed
Sanjar was an illegitimate child of Middle-Eastern king, Shapur II. To gain his father's attention, Sanjar stole treasures from his father to give to the townspeople. His latent mutant power activated and Sanjar gained the ability to transmit a many different deadly diseases via personal contact with metal. He became the Horseman Death and was later killed by Deathlok, who was impervious to his powers.
Contained in Uncanny X-Force by Rick Remender collections.
Ichisumi
Ichisumi is originally from the late 19th century Japan. He was a failure to her father, which caused trauma. She later became a Geisha and developed the mutant ability to create "yume" beetles from her mouth. These beetles can kill people they come in contact with and also absorb their memories. Apocalypse was impressed with her and became the Horseman Pestilence.
Contained in Uncanny X-Force by Rick Remender collections.
Aside from the other realities, and What If stories, there was a notable moment when the Apocalypse Twins turned Grim Reaper, Banshee, Daken, and Sentry into the Hoursemen of Death. However, this was not Apocalypse's doing and part of a surreal and bizarre Uncanny Avengers story.