As Christians, we must always go back to the authoritative source: the Bible.
What does the Bible say about aliens?
It doesn’t.
God could have created other physical creatures that live on distant planets. That does not change a thing about who Jesus is, and what He did for us, and how we ought to live in obedience to Him. God created us in His image. We are His special creation. We are sinners, and the only way to be reconciled to God is to accept Jesus as our Lord and Saviour.
That said, are the NHI that are visiting us, that the government and abductees speak of, aliens from other planets? Unlikely.
For more information on the implausibility of interstellar travel, I recommend reading the work of Canadian astrophysicist and Christian apologist Dr. Hugh Ross. You can read more of his work here.
What does the Bible Say About the Spiritual Dimension?
The Bible presents reality as including both a physical world and an unseen spiritual realm inhabited by God, angels, demons, and spiritual powers.
Here are some great resources to learn about the Spiritual Realm and Spiritual Beings:
Bible study on the topic of Spiritual Beings from The Bible Project.
Dr. Michael Heiser. The Unseen Realm and Supernatural.
Here are some examples of beings that inhabit the spiritual realm:
What do Angels, Fallen Angels, Nephilim, Demons, Seraphim, Cherubim, Ophanim, Powers, Principalities, Dominons, Thrones, etc, all have in common? They are non-human intelligences. They are NHI.
The Bible told us about NHI over two thousand years before the American government did.