You are correct instating that the Prophets are the leaders of the Covenant.

However, nobody anywhere has ever said authoritatively that the Covenant built the Halos, that Covenant ancestors built the Halo, or that the Forerunners are the Covenant ancestors-- or even that there's any connection between the Covenant, the Forerunners, and the Halo at all.

All of that stuff has been guessword by magazine writers and game players.

I'd bet against any of the games actually coming out and saying what the connection is, if there is one. Mainly because I think Bungie revels in the kind of rampant speculation on forums about what the connections might be.

Do yourself a favor, go visit the Marathon Story page, and look up the Pfhor, the S'pht, and the Jjaro. You'll see a lot of parallels with the Covenant and the Forerunners. (Unlike the Covenant, which are a group of alien races working together led by the Prophets, the Pfhor were a race of slavers, who employed other races like the S'pht for certain purposes. Not to spoil too much, but the player in the Marathon series basically incites a revolution of the S'pht against the Pfhor.

The Jjaro were a shadowy, powerful race from the past, who left behind certain artifacts and technology. They had also trapped an extremely powerful, chaotic being inside a star, which the Pfhor unknowingly released when they detonated it in an attempt to kill the player. The result of this was a very large explosion (starting to see some parallels?)

Lots of people guessed about what the relationship was between the Pfhor, the Jjaro, and the S'pht. The game never comes out and says definitely what it is, and the Jjaro themselves never appear.

I'd be quite surprised, given Bungie's history, if the Forerunners aren't treated the same way. We'll see their influence and history everywhere, but we'll probably never know exactly who they are or where they went.