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