Gandalf is a Maia in J.R.R. Tolkien’s legendarium.
The Maiar are spiritual beings created by Eru Ilúvatar before the shaping of Arda. Gandalf’s original name is Olórin, and he is associated with the Valar, the greater powers of the world. He is sent to Middle-earth as one of the Istari, or Wizards, to oppose Sauron.
The Wizards appear in the bodies of old men and are deliberately limited in how they may use their power. Gandalf the Grey later returns as Gandalf the White after confronting the Balrog beneath Moria. His apparent death and transformation are therefore part of a larger spiritual identity rather than a change from human to supernatural being.
Gandalf is not an Elf, Man, or Vala. The Valar are a higher order of Ainur, while the Maiar are lesser but still immensely powerful spirits. This distinction comes primarily from Tolkien’s wider mythology, especially The Silmarillion.