The role thing is the issue I'm having really. I want them to be a parallel to Lyra and Co. though, mostly to give a sense of scope. This is something big and I want to demonstrate that.

As for their past... Octavia was originally Righteous's ward, being a former assassin that tried to kill Lyra at some point in the past. Righteous didn't trust her at first, but then Octavia had the (mis)fortune of learning that Righteous is actually a werewolf (or horswolf, if you want to get technical). Righteous was bitten several years before the story started and has basically been chaining herself up in her house on nights she transforms. It's why she's so violently opposed to the idea of dark magic, since she thinks her curse would be removed if she destroys enough of the darkness in the world.

Octavia is the one pony Righteous trusts to kill her, should her wolf side ever become a threat. It's something of a friendship, but it's the closest Righteous has to the real thing. This is something the big bad of the story wishes to exploit, making her so paranoid that she actually openly attacks Lyra and them at some point, even stabbing Vinyl to banish her from the mortal plane (since killing demons really isn't possible, she's just getting sent back to Hell). This, in turn would also cause some minor in-fighting between the two groups and create a measure of distrust to let him get to Lyra.

Her father, Harpsichord, made a deal with the big bad several years ago. The paladins were closing in on him and he wanted Lyra's education as a necromancer to continue. So he basically signed a contract with the baddie to make that happen; the contract is magically binding. So, if he gets Lyra into a place where she would be willing to accept his help in some form, he can basically control her. He needs her because part of her father's research involved finding ways to cheat Death altogether; but that research is magically sealed so that only Harpsichord himself or Lyra can read and interpret it.