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The four-dimensional ellipsoid of an anisotropic hyper-structure corresponds to the four-dimensional sphere of an isotropic hyper-structure. In three dimensions, both theories for spherical and ellipsoidal harmonics have been developed by Laplace and Lamé, respectively. Nevertheless, in four dimensions, only the theory of hyper-spherical harmonics is hitherto known. This void in the literature is expected to be filled up by the present work. In fact, it is well known that the spectral decomposition of the Laplace equation in three-dimensional ellipsoidal geometry leads to the Lamé equation. This Lamé equation governs each one of the spectral functions corresponding to the three ellipsoidal coordinates, which, however, live in non-overlapping intervals. The analysis of the Lamé equation leads to four classes of Lamé functions, giving a total of 2n + 1 functions of degree n. In four dimensions, a much more elaborate procedure leads to similar results for the hyper-ellipsoidal structure. Actually, we demonstrate here that there are eight classes of the spectral hyper-Lamé equation and we provide a complete analysis for each one of them. The number of hyper-Lamé functions of degree n is (n + 1)²; that is, n² more functions than the three-dimensional case. However, the main difficulty in the four-dimensional analysis concerns the evaluation of the three separation constants appearing during the separation process. One of them can be extracted from the corresponding theory of the hyper-sphero-conal system, but the other two constants are obtained via a much more complicated procedure than the three-dimensional case. In fact, the solution process exhibits specific nonlinearities of polynomial type, itemized for every class and every degree. An example of this procedure is demonstrated in detail in order to make the process clear. Finally, the hyper-ellipsoidal harmonics are given as the product of four identical hyper-Lamé functions, each one defined in its own domain, which are explicitly calculated and tabulated for every degree less than five. Full article