The US government has already admitted that they have whole or parts of machines "not of this world". As for who or what they are, whether time travelers, interdimensional beings, demons, we might be a long time in finding out.
I'd suggest a search for interviews with Commander David Fravor, who was flying one of the aircraft that filmed the "Tic Tac" craft over the Pacific. I had some doubts before, but he convinced me with some little details he said, and some he left out.
I'd love to believe Bob Lazar, who has some compelling elements to his story, and some that are iffy at best. His talking about Element 115 years before it was confirmed to exist, although the isotopes the Russians discovered have half-lives in the millisecond range. Biggest red flag is the "bone scanners" that he discussed that were used for access control at Area 51, and other highly sensitive areas- until I noticed one in "Close Encounters", which was made in 1977, long before Lazar started talking to the press.