Iirc the books themselves didn't say, but Tolkien's letters say something to the effect of the Istari only having vague memories of their time as Maia, with the exception of things that they were explicitly meant to remember, e.g. Olórin's memories of being sent back after his physical death while fighting Durin's Bane.

They know that they are, in our parlance, embodied angels or minor gods, but they don't remember a ton of where they came from