You for to use the index k from the outer loop:
% Fitzhugh-Nagoma model parameters
e = 0.01;
k = 1:1:4;
a = 0.1;
i = 0.001;
u=zeros(5000,4);
v=zeros(5000,4);
t=zeros(1000,1);
% Initial conditions:
u(:)=0.3;
v(:)=0.0;
t(1)=0;
dt=0.001;
%
for k=1:4
for i=1:1:5000
t(i+1)=t(i)+dt;
u(i+1,k) = u(i,k)+ dt.*((1/e).*((k.*(u(i,k).*(u(i,k)-a).*(1-u(i,k))))-v(i)));
v(i+1,k) = v(i,k)+ dt*(u(i,k)-v(i,k));
end % ^ ^ ^ ^ you forgot to use |k|.
end
plot(t,u,'r', t,v,'b')
Gives: