Ethereal aliens start to appear near the end of the game. You need to rank up a PSI soldier to the 3rd rank so that the mind control ability becomes available.
The game difficulty and your will both determine the chances of success for a mind control. Get your highest will PSI soldier, give them PSI armor on Easy difficulty and this should be enough to mind control an Ethereal.
If you are still having problems raising your success chance, you can use the mind shield accessory combined with will enhancing gas from your support class, Upon taking control of the ethereal the achievement will unlock.