The Four Winds are four entities that the Anemo Archon, Barbatos, entrusted the safety and protection of Mondstadt to before he disappeared 1,000 years ago.
The Four Winds were not officially established until Vennessa, founder of the Knights of Favonius, ascended to Celestia and became the Falcon of the West. However, the other two of the Four Winds had been protecting Mondstadt alongside Barbatos for thousands of years before this.
Andrius, who was once the God of Blizzards and King of the North Wind, lived in Mondstadt long before the current City of Mondstadt was established. During the Archon War, Andrius filled the land with Mondstadt with a never-ending winter as he warred against Decarabian, the former Anemo Archon and the God of Storms.
After the rebellion that slew Decarabian and saw Barbatos's rise to Anemo Archon, Andrius, who saw himself unfit to be an archon due to his lack of love for humanity, and realized that his powers could only bring harm, chose to pass on, allowing his powers to flow into the land and nurture it.