Unearthly describes something supernatural — a person or object that seems to come from another world. Unearthly beings are usually mysterious and can sometimes be scary, like the aliens you might see in a science fiction movie.
When unearthly was first used in the early 1600s, it meant "heavenly, sublime," a combination of un, meaning "not," and earthly. Unearthly can still be used is to describe something spiritual or having to do with the soul. If you feel an unearthly presence while walking in a cemetery at night, it might be a visitor from "the other side."