This is my take on the origin of the Curious. Spoilers from the season one episode "Spaceman".
I was part of the first space program. My mission was simple: I just had to land on Earth, watch, take notes and come back. However, my spaceship crashed and my radio was broken.
I started watching anyway. You humans are so different from us. You are taller and have this funny hole in your you call a mouth. I couldn't fit in so I started to wear a mask and pretended to be a child. I traveled alone for a long time. Luckily I happen to have some kind of a sixth sense: I always know when something unusual is going to happen. That's why I was chosen for the mission.
I spent decades watching. First I was puzzled. You humans have those weird feelings you call kindness, empathy, friendship and moral compasses. It thought it was hilarious at first but then you slowly grew on me. I guess I started having empathy too. I kept watching but I felt different and one day I realized I didn't want my kind to invade your planet.
I mean, you're weird but now I really, really like you! I'd like to be part of your world but I know it will never be possible. So I still hide. When I saw Stan landing on Earth, I didn't try to help him. I wanted him to fail so I would remain here and watch you forever.
And I travel, again and again. Maybe one day I'll witness a kind of magic that can change someone's looks. Maybe I'll use it to make me a fake mouth and I'll live with you forever. I will be your person next door, your friend. But now, I'm just a stranger and I know it.
I am the Curious.