The aliens have come from inter-dimensional space. Wikipedia narrates:
Spalko believes that the crystal skull belongs to an interdimensional being and holds great psychic power, and proves her theory by showing that the corpse stolen from the warehouse has an identically shaped skull.
It further says:
After the Soviets arrive, Spalko replaces the skull. The aliens communicate to the group through Oxley using an ancient dialect and promises to reward them with a "big gift"; Spalko demands to "know everything". The skeletons grant her request and transfer their collective knowledge into her mind. At the same time they activate a portal to another dimension.
IMDB also confirms :
This refers to the fourth dimension. Definition in the American Heritage dictionary: "Time regarded as a coordinate dimension and required by relativity theory, along with three spatial dimensions, to specify completely the location of any event." There is a plausible theory in astrophysics that the fourth dimension may exist, which is utilized by the UFO in the film as the propellant engine to travel through the space/time continuum, as Nobel Prize winner in Physics Albert Einstein, who developed the theory of relativity, summarily explains: "An attempt at visualizing the fourth dimension: Take a point, stretch it into a line, curl it into a circle, twist it into a sphere, and punch through the sphere."
Oxley knew it. So he said Into the space between spaces.