Before entering Middle-earth, Gandalf was known as Olórin in J.R.R. Tolkien’s legendarium.
Olórin was a Maia who lived in Valinor and was associated with the Valar, especially Manwë, Varda, Irmo, and Nienna. In The Silmarillion, he is described as wise and compassionate, and he often visited the Elves while remaining unseen or taking a form they could perceive.
When the Valar sent the Istari to oppose Sauron in the Third Age, Olórin became Gandalf. In Middle-earth he was also called Mithrandir by the Elves, meaning “Grey Pilgrim,” and Tharkûn by the Dwarves. These are names for the same being, not separate wizards.
Curunír is Saruman’s original name, while Aiwendil is Radagast’s. Gandalf’s change from Gandalf the Grey to Gandalf the White follows his battle with the Balrog and signals renewed authority, but it does not change his underlying identity as Olórin.