Explained here by Savage: https://www.youtube.com/watch?v=6yYkbOqt4jg
Savage isnt quite right, though I guess Im being pedantic here.
The phrase is from a propaganda broadcast by General Mola, one of General Franco’s Nationalist allies in 1936. I
According to Mola there were four columns marching on Madrid, the capital and leftist-Republican stronghold,, and a fifth column already secretly in the city ready to rise when they got there.