Quaternion adaptive filters have been widely used for the processing of three-dimensional (3-D) and 4-D phenomena, but complete analysis of their performance is still lacking, partly due to the cumbersomeness of multivariate quaternion analysis. This causes difficulties in both understanding their behavior and designing optimal filters. Based on a thorough exploration of the augmented statistics of quaternion random vectors, this paper extends an analysis framework for real-valued adaptive filters to the mean and mean square convergence analyses of general quaternion adaptive filters in nonstationary environments. The extension is nontrivial, considering the noncommutative quaternion algebra, only recently resolved issues with quaternion gradient, and the multidimensional augmented quaternion statistics. Also, for rigor, in order to model a nonstationary environment, the system weights are assumed to vary according to a first-order random-walk model. Transient and steady-state performance of a general class of quaternion adaptive filters is provided by exploiting the augmented quaternion statistics. An innovative quaternion decorrelation technique allows us to develop intuitive closed-form expressions for the performance of quaternion least mean square (QLMS) filters with Gaussian inputs, which provide new insights into the relationship between the filter behavior and the complete second-order statistics of the input signal, that is, quaternion noncircularity. The closed-form expressions for the performance of strictly linear, semiwidely linear, and widely linear QLMS filters are investigated in detail, while numerical simulations for the three classes of QLMS filters with correlated Gaussian inputs support the theoretical analysis.