The Vex are ancient cyborg warriors in the Destiny Universe, linked together and governed by Axis Minds. They are not inherently hostile, as they attempt to convert everything into something that makes sense to them.
The Vex originated from before the beginning of the universe as highly tenacious patterns fleeing destruction at the battle fought outside of cause and effect. In the earliest epochs of the universe, they existed as patterns in the primordial chaos, and later during the era of atomic matter rode comets down to young worlds and began to spread. The Vex appeared on Venus from an unknown location by way of transfer gates that allow them to instantly warp through space and time.
Their single purpose is to expand their species throughout the galaxy, commanded by Axis Minds that single-handedly control whole armies.