In my latest game I've twice seen aliens walk through solid walls. Both times it was on the Industrial map while trying to claim a crashed scout.
The first time an Caesan ran from the fenced area in the far right corner into the building along the bottom right edge the map. My troops hadn't seen the part of the wall he ran through, but they saw the beginning and end points of his movement. I was surprised when I killed him and entered the building to see that there was no door, just a tool chest up against the wall, roughly where he walked through.
The second time was in the building adjacent to the power substation (the closest building to the drop ship's exit ramp). I had two soldiers in the building, facing towards the door in the top corner. Much to my horror, an Sebillian soldier ran right through the wall on the upper left (to the left of the door), and ended his movement right next to them in the middle of the room. On my turn my soldiers each shot him, but he survived the damage and killed them both with reaction fire. A shotgun blast at point blank and four or five pistol shots (from my missile launcher gal) were not enough to take him out!