The grays are said to look similar to the image above. These beings are said to be seen by ufo abductees, people with night terrors have seen them as well. Sometimes people have awoke in a state of what is called sleep paralysis and they will see multiple beings that look like the image.
In 1947 a UFO supposedly crashed in new mexico with beings on board that resemble the above image.
In the Gnostic writings beings called Archons were said to inhabit this solar system prior to the formation of the Earth. Some of the descriptions of these beings match the grays.
Some people claim they come from other planets, some say they come from inside the earth or from the moon, others say they come from another dimension. Some say they are us from the future.
Aliester Crowley was an English Occultist and Ceremonial Magician. He repeatedly contacted an otherworldly being called "Lam". This being also resembled the grays. Link to an article with drawings. Crowley