Heroic Spirits summoned by the Holy Grail. A type of familiar.
They are souls of the highest purity, called forth using artifacts linked to the Heroic Spirits, into seven classes (containers) prepared in advance.
Properly speaking, they are not something that can be controlled by humans, but because they are burdened by the authority of the command spell, the “absolute condition for materialization” carved into them at the moment of summoning, they have no choice but to cooperate with their Master.
They are also capable of reverting into an immaterial spirit form at will, and while in this state can slip through inorganic substances that don’t contain much mana.
When Lancer dropped down from the ceiling during his surprise attack on the Emiya residence, he used this spirit form to slip through the roof, then rematerialized once he reached the living room.
Also, while they are immune to normal physical interference in spirit form, their ability to affect the material world drops as well, making it advantageous to materialize for battles.

Fate/side material: Fate Encyclopedia

Heroic spirits are individuals enshrined or worshipped in legends after their death in the mortal world. What can be thought of as a heroic spirit’s “main body” resides in the Throne of Heroes, and can only be summoned by the World. A Servant is merely an “emanation” or pseudo-copy of a heroic spirit’s main body, summoned by ritual. Magus selected as Masters are only capable of summoning a Servant with the aid of the Holy Grail. A Servant is a Master’s sword and shield. They are the primary tool of combat in the Holy Grail War. Magus aren’t typically cut out for physical fighting, making Servants essential to engage in combat with other Servants. The Holy Grail gives those summoned as Servants the minimum information required to allow them to fit into the current era. This enables Servants from ages long past to operate in modern society without issue.

Fate/Zero Animation Guide I: Glossary of the holy grail war I