Gandalf is the best-known of the Maiar of the people of Valinor. He was known as Olórin who dwelt in the gardens of Irmo and was the pupil of Nienna. When the Valar decided to send the order of the Wizards to Middle-earth, Olórin was proposed by Manwë, in order to counsel and assist all those in Middle-earth who opposed Sauron. He is said to be one of the wisest of that order, rivalling Saruman, with whom he had a strained, competitive relationship.
I am not sure how I never read this information but it really fills in some of the gaps about Gandalf’s past.