edit/update:
Xcode 11 • Swift 5.2 or later
Follow up on this question and Swift 5 syntax can be found on this post
Original answer
Swift 1.x
Following up Istvan answer, you need to post a notification when the deleteBackward is pressed:
class DigitField: UITextField {
    override func deleteBackward() {
        super.deleteBackward()
        NSNotificationCenter.defaultCenter().postNotificationName("deletePressed", object: nil)
    }
}
Then inside viewDidLoad() you add an observer as follow:
NSNotificationCenter.defaultCenter().addObserver(self, selector: "goPrevious", name: "deletePressed", object: nil)
and your method:
func goPrevious() {
    if secondDigit.isFirstResponder() {
        secondDigit.enabled = false
        firstDigit.enabled = true
        firstDigit.becomeFirstResponder()
    } else if thirdDigit.isFirstResponder() {
        thirdDigit.enabled = false
        secondDigit.enabled = true
        secondDigit.becomeFirstResponder()
    } else if fourthDigit.isFirstResponder() {
        fourthDigit.enabled = false
        thirdDigit.enabled = true
        thirdDigit.becomeFirstResponder()
    }
}
Select your text field and connect it to your DigitField

You need to connect each text field to an IBAction (using sent events editing changed)

The view controller code should look like this:
import UIKit
class ViewController: UIViewController {
    
    @IBOutlet weak var firstDigit: UITextField!
    @IBOutlet weak var secondDigit: UITextField!
    @IBOutlet weak var thirdDigit: UITextField!
    @IBOutlet weak var fourthDigit: UITextField!
    
    override func viewDidLoad() {
        super.viewDidLoad()
        NSNotificationCenter.defaultCenter().addObserver(self, selector: "goPrevious", name: "deletePressed", object: nil)
        
        firstDigit.secureTextEntry = true
        secondDigit.secureTextEntry = true
        thirdDigit.secureTextEntry = true
        fourthDigit.secureTextEntry = true
        firstDigit.keyboardType = .DecimalPad
        secondDigit.keyboardType = .DecimalPad
        thirdDigit.keyboardType = .DecimalPad
        fourthDigit.keyboardType = .DecimalPad
        firstDigit.becomeFirstResponder()
        secondDigit.enabled = false
        thirdDigit.enabled = false
        fourthDigit.enabled = false
    }
    override func didReceiveMemoryWarning() {
        super.didReceiveMemoryWarning()
        // Dispose of any resources that can be recreated.
    }
    
    func goPrevious() {
        if secondDigit.isFirstResponder() {
            secondDigit.enabled = false
            firstDigit.enabled = true
            firstDigit.becomeFirstResponder()
        } else if thirdDigit.isFirstResponder() {
            thirdDigit.enabled = false
            secondDigit.enabled = true
            secondDigit.becomeFirstResponder()
        } else if fourthDigit.isFirstResponder() {
            fourthDigit.enabled = false
            thirdDigit.enabled = true
            thirdDigit.becomeFirstResponder()
        }
    }
    // You need to connect each text field to an IBAction (using sent events editing changed) – 
    @IBAction func firstChanged(sender: UITextField) {
        if let digitOne = sender.text.toInt() {
            println(digitOne)
            sender.enabled = false
            secondDigit.enabled = true
            secondDigit.becomeFirstResponder()
        } else {
            sender.text = ""
        }
    }
    
    @IBAction func secondChanged(sender: UITextField) {
        if let digitTwo = sender.text.toInt() {
            println(digitTwo)
            sender.enabled = false
            thirdDigit.enabled = true
            thirdDigit.becomeFirstResponder()
        } else {
            sender.text = ""
        }
    }
    
    @IBAction func thirdChanged(sender: UITextField) {
        if let digitThree = sender.text.toInt() {
            println(digitThree)
            sender.enabled = false
            fourthDigit.enabled = true
            fourthDigit.becomeFirstResponder()
        } else {
            sender.text = ""
        }
    }
    
    @IBAction func fourthChanged(sender: UITextField) {
        if let digitFour = sender.text.toInt() {
            println(digitFour)
            sender.enabled = false
        } else {
            sender.text = ""
        }
    }
}