So, I've established that Celestia and Luna's parents had gone missing back in This Image, but what were they like? And more importantly: What happened?

So back when Celestia and Luna were still fillies Hearths Warming wasn't a thing yet, which means the Windigos were still a danger and the pony races were divided... Well, except for a certain few ponies, which happened to include Celestia and Luna's parents: Chromus and Andromeda.

Chromus was the son of one of the unicorn mages that took on the role of raising the Sun and Moon before Celestia and Luna took over as well as the colt that gave Starswirl the Bearded the idea of a spell to travel back in time that Twilight would use first and eventually the one that Starlight would edit in her reformation episode. He always had a knack for being just on time for any occasion and never being late, and seemed to have the unique ability to foretell what would happen mere seconds before they actually happen.

Andromeda on the other hand was an astrologist, not content in the knowledge that no matter how much she flew upwards she'd never reach the stars above. She was never really interested in the whole war going on, and she was often described as airheaded and a daydreamer at times, and the titles only got worse when she expressed interest in the Unicorn Mages that kept the day-night cycle turning. It wasn't until one day, when the young mare went off on her own towards the Unicorn territory, that she found what she was looking for.

Chromus and Andromeda met atop a hill, and it wasn't long before they forgot all about the anger the two races were meant to have for eachother. Perhaps it was fate that lead them to that hill, or a stroke of luck, but it was on that hill they continued to meet for the next few years- and where they got secretly married and had Celestia and eventually Luna. Seeing as they were both unicorns, the two lived with their father at first but were always brought back to see their mother...

It wasn't until the war got harsh and Windigo's winds got worse that danger struck, in which Chromus and Andromeda teamed up to try and convice the pony races to unite- but they were ultimately pushed aside and jailed for the inter-species relationship. Neither were allowed to see their children again, as Chromus was locked in jail and left there to freeze in the Windigo's winter and Andromeda was exiled and ultimately reached a similar fate during a failed attempt to fly through a harsh blizzard.

So Celestia and Luna were left to wander the streets of the Unicorn Kingdom as the two children of a forbidden love... That is, until they were granted the abilities of all three pony races and began being trained under Starswirl the Bearded himself.

Fun fact: The Hearts and Hooves day story is actually about Celestia and Luna's parents, just... Historically distorted through the beliefs at the time.