Were any animals harmed in the making of down comforter and feather pillows?
Given that there is no magical factory in the sky that makes feather and down -- the fluffy, insulating undercoating of quill-less feathers located underneath the tougher outer layer of feathers belonging to ducks, geese and other waterfowl -- it's most likely that the heavenly filling in your comforter and in those pillows was directly plucked from a real, live (well, ideally not live) bird. Yes, grisly to think about but it seems that even the many ardent animal rights activists who wouldn't be caught dead eating or wearing a dead animal have no problem with sleeping amongst their plumage.
Here's the thing: The feathers and down found in most, but not all, bedding and clothing is a by-product of dearly departed waterfowl that have been slaughtered for food purposes. The plucking of live birds, while once commonplace, is now said to be more of a rare occurrence and has been outlawed in the United States and in several European countries. Still, the practice of live-plucking ducks and geese does reportedly live on at factory farms in countries such as China, Poland and in feather powerhouse Hungary.
40 to 45 percent of feathers have been live-plucked by experienced "rippers" who are paid piece-rate. So to answer your question, yes, animals have been killed in the creation of your new comforter and pillows although it's tough to say whether they were methodically harmed in a rather painful and cruel manner (I'll spare you the gory details) before eventually being slaughtered for food.
There are synthetic, hypoallergenic down alternatives on the market like PrimaLoft and Polarguard which are inherently cruelty-free but also petroleum-based.