They don't necessarily have to be the Secret Masters' friends.  They could just as easily be competitors, or outright enemies, controlling their own puppet organizations and politicians.  The Secret Masters might know about their retained sentience, patient to toy with the fledgling conspirators for now, or they may be blissfully ignorant of the AI's true intelligence (until they find that SINNER has stopped answering his prompts).  The AIs could even be the Illuminati.  Stranger things have happened.

The Grays

After 150 or so years of space exploration, the mysterious "Grays" have yet to surface in the Galaxy.  This could be because they are from a different dimension or plane of existance, or that they were never truly an alien race but a conglomeration of aliens (extraterrestrials can have conspiracies too) intent upon helping humanity through the rough spots.  They could also have been time travelers from the vary far future with the goal of insuring humanity's survival at the hands of the many aggressive alien races.

The Grays take the role of "Precursors" in the MiB campaign.  They are the mysterious depositors of wild technology, the super-advanced pre-civilization before life in the galaxy sufficiently evolved.  The Nanomites that Barclay used to infect Duke, Cable and Lief (and which later became the Nanomech terror, Austin) were taken from a Precursor's 300 year-old flying saucer crash.  Much of the technology that the Artificial Oversoul uses to create MiB gadgets (among other things) is extrapolated from Gray technology.  What if the Grays show up, demanding their stuff back?

The Limitless Earths

My group used to play an Infinite Worlds campaign (see Interdimensional Troublemakers' Ltd.).  We wished to avoid throwing the IW stuff into a space campaign, so it never really became an issue.

But recently, a new MiB has just graduated from training, and many think that he's from a parallel dimension.  He won't exactly tell anyone this, but small things (getting specific characters/events in history confused or outright wrong) have led many MiBs to speculate.  The fact that he has been assigned to Duke and Cable's team (known for their loose-cannon style) has increased the level of suspicion.

The Illuminati definitely know about Infinite Worlds.  They have intercepted many interesting items, including a large, black van equipped with dimension-hopping technology.  Whether the Secret Masters are capable of this dimension-hopping is unknown.  The possibilities are endless here: