at the end of one of the episodes, she's looking out to the star lit sky and applebloom came up to her and asked a question and her (applejack) replied something in the manner of their parents, some saying that they are dead but the creator of the show is saying that is something that hasn't really brought up in the board-meetings or the in the show. so it's like a 50/50 chance. they could be dead or they maybe in another city..