They are called 사자성어 (四字成語), as Posh_Pumpkin said in the comment.
사자(四字) means four-letter.
성어(成語) means something like proverb, according to the dictionary, but I think it's only used in forms like 사자성어 or 고사성어.
고사성어 (故事成語) is something similar.
고사(故事) basically means things that happened long time ago, so 고사성어 means a proverb that originates from an old story. As far as I know, the majority of 고사성어 are 사자성어.
천고마비 is a 고사성어 (and 사자성어 too obviously) that has been passed on from way back in ancient China, where there were frequent attacks from the Huns in the fall. The Huns were nomadic people, and they rode horses. In order to carry out attacks, they fed their horses well. So when the sky became clear, and the horses were fattened, the ancient Chinese people knew it was fall, and prepared for attacks.