Like Stonehenge: a megalithic observatory. And the Pies are astronomers.

Their family has held the farm for generations. Celestia covertly relied on their observations for accurate predictions of the date of Luna's return and granted them their land for this purpose--a purpose known only to her and the Pies.

Celestia had her own Royal Astronomers, of course, but always worked to ensure their predictions were a year or two off. Why? Well, in a palace there are always malcontents, and if they knew that a usurper was bound to show up and challenge the regent, they might be tempted to see how they would fare under a new administration. So Celestia thought it best to keep them uncertain about the timing of their plots.

Though the henge is not magical, yet it draws power to itself. Its power increased exponentially as the moment of Luna's return drew nearer. Pinky and all of her siblings were conceived and born under its influence.

Which explains Pinkie Sense

An interesting idea... is there a story that goes into this, or are you just speculating here?

If there isn't a story, there's plenty of room to expand on here. If the Pies have close ties to the Princess, was Pinkie alerted that Twilight would be coming? While Pinkie got the power to tell the future, did her sisters get other skills (to tell the past or different ways to tell the future)? Does Pinkie even know about the ties to the Princess, since she left the rock farm at a young age? What else was the henge used to predict?

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The henge ("Piehenge?") is just a physical, nonmagical observatory: it predicts only physical, nonmagical astronomical phenomena. It's just that one particular astronomical phenomenon is linked to a momentous magical event.

But remember: Equestria is a world in which even innately nonmagical things (such as friendship) can have magical aspects and power . So the henge, while it has no magic of its own, attracts magic to it.

Which would explain why weird stuff keeps happening in Ponyville.