It's likely you're thinking of "The Little House on the Prairie" series, where Prince and Lady are the names of the Ingalls family's horses. Here's what happens to them:
* Prince: Prince is a brown horse owned by Charles Ingalls, Laura's father. He's a strong and reliable horse, used for plowing, hauling, and riding. He is later sold to help the family when they are struggling financially.
* Lady: Lady is a white mare owned by the Ingalls family. She is gentle and used for riding and pulling a wagon. She is also sold later on to help the family.
While Prince and Lady are important in the Ingalls family's life, they are not mentioned in "The First Four Years." It's possible you're recalling a different book in the series where their story is told in more detail.