Before coming to Middle-earth, Gandalf was known among the Maiar as Olórin.
Olórin was a Maia associated especially with wisdom, pity, and the realm of Manwë and Varda. When the Valar sent the Istari to Middle-earth in the Third Age, he was chosen to join the mission. In Middle-earth he became known primarily as Gandalf, one of the five Wizards.
The Istari were Maiar who took the forms of elderly Men and were sent to resist Sauron by inspiring the peoples of Middle-earth rather than ruling them by force. Gandalf’s compassion and willingness to recognize courage in small people are central to his role in The Hobbit and The Lord of the Rings.
Curunír is Saruman’s name, Aiwendil is associated with Radagast, and Mairon was Sauron’s original name. These names belong to different Maiar and are not alternate names for Gandalf.