Gandalf is known as the Grey Pilgrim in J.R.R. Tolkien’s Middle-earth.
Gandalf is one of the Istari, spiritual beings sent to Middle-earth to oppose Sauron. He first appears in The Hobbit as Gandalf the Grey, a wandering wizard who helps organize the quest to reclaim the Lonely Mountain. In The Lord of the Rings, he guides the Fellowship and confronts the Balrog in Moria.
After his fall and victory over the Balrog, Gandalf returns as Gandalf the White. The change reflects a renewed authority and a different stage of his mission, although he remains recognizably the same character.
Saruman is also an Istar and is associated with white robes, while Radagast is another member of the order. Those similar wizard identities can cause mix-ups, but the title “Grey Pilgrim” belongs specifically to Gandalf.