The Covenant is a alliance of three alien races, believed to be fanatically religious, and engaged in a war with mankind. They are very advanced, but for some reason see the player as their Devil-it has been hypothesized that this is because the player is a cyborg, which may be taboo in their culture.
In addition to the humans and the Covenant races, there is apparently a third race that appears in Halo. They are possibly the constructors of the Halo and/or residents of it.