They are brothers in arms, not real brothers. Death is from the 1st generation of the Niphillim [uber powerful from birth], but War, Strife and Fury are from 2nd generation [less powerful]. All of them received additional power upgrade from the Council.
According to Abomination Vault, Niphilim were artificially created race made from Angels and Demons. When they realized that they dont have home and that Creator prophesied that EDEN must be left untouched for impending arrival of Human race, they got really pissed and started intergalactic war. After destruction of countless worlds and civilizations, Charred Council with the help of the 4 rebel Niphilim managed to destroy them all.
Another thing that I noticed from AV is that DEATH is the boss. He doesn't take shit from anyone [absolutely anyone], and other horsemen are clearly less powerful and very less informed than him. He knows all the players, and he holds within him all the secrets of his race.
Im currently at 50% of the book, and so far... Strife was portrayed very lightly as impatient, and Fury as more emotional than the rest.