Istari-uppsatsen i oavslutade taler svarar på detta:
But the last-comer was named among the Elves Mithrandir, the Grey Pilgrim, for he dwelt in no place, and gathered to himself neither wealth nor followers, but ever went to and fro in the Westlands from Gondor to Angmar, and from Lindon to Lórien, befriending all folk in times of need.
Också rubriken till årtalet för tredje ålder i RotK:
Mithrandir was closest in friendship with the Eldar, and wandered mostly in the West, and never made for himself any lasting abode.
Så mycket som Gandalf kunde sägas ha ett hem, är det Lórens trädgårdar i Aman, där han bodde som Olorin; se Valaquenta:
Wisest of the Maiar was Olórin. He too dwelt in Lórien, but his ways took him often to the house of Nienna, and of her he learned pity and patience.
Även då reste han om något, som citatet ovan visar, och vidare från Oavslutade Tales:
Then Manwë asked, where was Olórin? And Olórin, who was clad in grey, and having just entered from a journey had seated himself at the edge of the council...
Lórien i Aman, som inte bör förväxlas med Lórien i Mellersta jorden, är förmodligen där Gandalf återkommer till slut i slutet av Ringenes Herre.