We have no good reason to believe that aliens have ever contacted Earth. Sure, there are conspiracy theories and some rather strange reports about harm to cattle, but nothing credible. Physicist Enrico Fermi found this odd. His formulation of the puzzle, proposed in the 1950s and now known as "the Fermi Paradox", is still key to the search for extraterrestrial life (SETI) and messaging by sending signals into space (METI).
If you haven’t read (or now, watched) it, I recommend The Three Body Problem. One of the characters gets this choice.
Heard a lot of good things about that book thus far, just hadn’t gotten around to grabbing it yet.