In Tolkien’s legendarium, Gandalf’s original name in Valinor was Olórin.
Olórin was a Maia, a spiritual being who lived among the Valar before coming to Middle-earth. In The Silmarillion, he is associated with wisdom, pity, and the ability to inspire hope. He was sent to Middle-earth as one of the Istari, the order of wizards who arrived during the Third Age to oppose Sauron.
Gandalf was not the only name used for this character. Different peoples knew him by names such as Mithrandir, Greyhame, Tharkûn, and Gandalf. “Gandalf” is the form used most often in The Hobbit and The Lord of the Rings, while Olórin belongs to his earlier existence in the West.
The other Istari also had names before or alongside their familiar forms. Curumo became Saruman, and Aiwendil became Radagast. Eönwë, however, was a different Maia and not one of the wizards.