|Spoilers for The Bureau: XCOM Declassified follow.|
The Ethereals are an ancient (possibly ageless), powerful race of psionic aliens who completely lack a corporeal form and are instead mostly, if not entirely, composed of energy.
They resemble phantoms with four arms, two legs, and many tendrils coming from their backs, from which they can assert their influence. They also have an odd head which resembles a human central nervous system.
They are extremely powerful, possessing advanced psionics, most notably being mind control, which they can use to command another being's will indefinitely and subtly. They are vastly intelligent and give off outstanding amounts of energy.
Despite their seeming power, they are actually quite physically weak with a single bullet from a handgun capable of killing them.