I have been reading a lot of lovecraftian stories and in some of them, there is often a phrase such as "something from out there". There is e.g. a story by August Derleth that is called just like that. How would you understand? The only dictionary entry I found stated that it can mean "from any place except here", but that would not make much sense in this context.
I think you defined "from out there" perfectly in your question: "from a different world or something like that."
It's somewhat vague - intentionally so. In science fiction, where a being or a phenomenon is referred to as "from out there," you might understand this as from some unknown location outside of earth - whether outer space, another planet, another dimension, etc.
The term is also used figuratively (usually without the "from") when you want to say that something is weird or random or surprising: "Man, that idea is really out there" would mean that the idea is very weird or unexpected - i.e., alien to regular thought.