Gandalf’s name before arriving in Middle-earth is Olórin.
Olórin is the Maia name of the being later known as Gandalf. In Tolkien’s mythology, the Maiar are powerful spiritual beings who serve the Valar. Olórin lived in Valinor and was associated with wisdom, compassion, and the power to inspire courage before he was sent to Middle-earth as one of the Istari, or Wizards.
Gandalf is not his only name. Mithrandir is a Sindarin name used by the Elves and Men of the West, while Tharkûn is a name associated with the Dwarves. Curunír is the original name of Saruman, and Aiwendil is associated with Radagast.
The name Olórin is stated in Tolkien’s writings about the Istari, including material published in Unfinished Tales. This makes it distinct from a nickname or translation: it identifies Gandalf’s earlier existence in Valinor before his mission in Middle-earth.