The Message is the prophecy of the end of the world, by way of the Four Horsemen. What the Four Horsemen are is something of a mystery, but they're certainly not Human. The beginning of issue one makes it fairly clear that we are watching The Message unfold, and that there is a connection between the two..
First, we have the three prophets who first told the Message introduce us to what's about to happen:
And then the next panel on the next page:
The connection between the Horsemen and the Message is also visually shown throughout the series. For example, here's how War, Conquest, and Famine stack the bodies in issue 1:
And the symbol on Ezra's robe, who is the keeper of the Message:
This isn't a book that is going to tell you all the answers too quickly. Hickman isn't the type of writer to just lay it all out. He's going to take us on a journey, and slowly answer some questions here and there, but tease us just enough to make us question more. Honestly, I hope that by the end he can wrap up most of the main plot threads when it's all said and done, but I would also like to see some things remain ambiguous at the end. This series really benefits from multiple read throughs, and I wouldn't want that to change when the series is over.