@eishiya: Thank you for the critique! Yeah, the theming definitely could have been stronger as well. Figuring out color pallettes is a weakness of mine; I'm going to continue trying to improve in that area .

Were it not for the title and your description, I wouldn't have guessed what their "theme" was, because they don't have very strong colour identities, and the colours aren't very distinct. K and Y are both bluer than C, and Y's particular blue is more cyan than C's blues. C uses more pinks in her design than M. M's greens highlight her hair nicely, but her hair feels more red than magenta.

Obviously going with the "pure" colours would not be a good choice either, but incorporating the colours more and using their complements only as accents rather than as dominant colours like you have would help this bunch read more like "CYMKnights" and not like some knights who just happen to be colourful xP

Criticism of the theme incorporation aside, they're really cute, full of personality, and well-pixelled! Though I critiqued your colour choices from a thematic standpoint, the colours work well in general, you made great use of complements.