A method, due to \'Elie Cartan, is used to give an algebraic classification of the non-reductive homogeneous pseudo-Riemannian manifolds of dimension four. Only one case with Lorentz signature can be Einstein without having constant curvature, and two cases with $(2,2)$ signature are Einstein of which one is Ricci-flat. If a four-dimensional non-reductive homogeneous pseudo-Riemannian manifold is simply connected, then it is shown to be diffeomorphic to $\reals^4$. All metrics for the simply connected non-reductive Einstein spaces are given explicitly. There are no non-reductive pseudo-Riemannian homogeneous spaces of dimension two and none of dimension three with connected isotropy subgroup.