Mystic Shadow, sky Chaser and Sapphire Twinkle were best friends from the begining. Sapphire was only a filly when she became Twilight’s student in Ponyville. She immediatly met Sky Chaser, a little pegasus her age. The two hit it off perfectly. They were totally in sync and they became the bestest of friends.  
The two fillies were close to the CMC Applebloom, Scootaloo and Sweetie Belle. They soon were ready to take over the club, and become the new CMC. Applebloom Scootaloo and Sweetie Belle then introduced them to a young and lonely bat pony, Mystic Shadow. The pony was shy and introvert, and didn’t have many friends, if not any. The three of them would become a very unique trio, always seen together, and it would stay that way until adulthood.
 
When searching for their cutie marks, they went on numerous adventures together. Even though Sapphire kind of knew her cutie mark would be magic related, she enjoyed helping her friends find their own destiny.
 
Sapphire’s cutie mark:  
Sky Chaser was always obsessed with clouds. When she wasn’t with her friends in Ponyville, she was up there napping, or even attempting to eat the “fluffy natural cotton candy”.  
One day she expressed her desire to have wings that matched her favorite thing in the whole world. She “needed” cloud wings. Sapphire, as the amazing friend she is, studied hard to create a spell that will turn her friend’s wings into clouds, while remaining effective. And she made it. Sapphire cast the spell on Sky Chaser’s wings. When she did, Sky was submerged in blinding light at the same time as Sapphire. Sky got her cloudy wings, with which she could still fly, and Sapphire got her cutie mark. Three stars, representing magic, but also her and her friends, meaning she would be nothing without them at her side.
 
Sky Chaser’s cutie mark:  
Not really complicated. Sky’s interests were always turned towards clouds, and even though she tried a lot of different activities with her friends, she eventually went to Cloudsdale’s cloud factory for a visit with some other pegasii foals. Her cutie mark appeared when she tried the cloud machine and made her own kind of clouds, adding colors and unique shapes.
 
Mystic Shadow’s cutie mark:  
Shadow got her cutie mark with the help of her friends. With being shy and introvert, she developped a talent at hidding. The only times she was confortable was when she was alone with Sky and Sapphire.  
One day when they were playing hide and seek, Shadow stayed hidden a long time and avoided being seen in a bat of a wing. Sky and Sapphire never found her and declared her winner. That’s when the three friends discovered Shadow could kind of “disappear”, with a mix of speed and camouflage in the dark.  
Even though she’s not a specially good flyer, she can have spurts of speed flights in order to disappear and escape dangerous (or embarrassing) situations.