I going to assume you're talking about aliens in the sense of extraterrestrial beings rather than the concept of foreigners.
Lucian of Samosata (c.AD 125 - 180) was an Assyrian satirist whose work is often credited as being the first instances of science fiction literature. In his True History, Lucian writes of being transported to the moon by inclement weather where they find a variety of alien beings at war with one another.
In the more contemporary sense, belief in alien beings seems to have been a logical evolution from the concept of other realms in various religions. When Copernicus and Giordano Bruno dismantled the idea of the Earth being at the center of the solar system in the mid-late 1500's, the stage was set for a shift from the religious many-realms to the idea of other worlds and other physical cultures and races. Bruno himself speculated on this.
The concept of Alien life visiting Earth (or rather invading it) was popularized by H.G. Well's War of the Worlds in 1898 - so you can see by the time the current age of 'ufology' appeared in the 1940s with the Betty and Barney Hill abduction and the Kenneth Arnold alleged UFO sightings at Mt Rainier, it was already standing on a deep mythology of centuries of literature and a surface base of popular science fiction at least 4 decades in the making.
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