I'm assuming that space aliens would be part of Gods creation so I would have to say yes they do.
Worms are part of gods creation too, do they have souls?
CS Lewis probed the edges of the question in his Space Trilogy. Personally, I think it would be fascinating if an incredibly advanced race landed here and began preaching about the glory of God, and how primative, narrow and undeveloped a mind would have to be to fail to see the evidence of God as it exists throughout the entire universe.