Callisthenes was from Olynthus.
Anaxarchus the Greek is possibly the best known, and his companion Pyrrho
https://iep.utm.edu/anaxarchus/.There was also the seer "Aristander, a man of Telmissus, a soothsayer". Arrian mentions "Agis, an Argive who was an epic poet" Ch IX, who along with Anaxarchus tended to flatter Alexander.
Calanus joined Alexander in India at Taxila, with I think several of his companions. Dandamis was also an Indian philosopher.
Plutarch: "We are told, also, that he listened to the teachings of Psammon the philosopher in Egypt, and accepted most readily this utterance of his, namely, that all mankind are under the kingship of God, since in every case that p307 which gets the mastery and rules is divine."
"After boisterous drinking was under way, verses were sung which had been composed by a certain Pranichus, or, as some say, Pierio, to shame and ridicule the generals who had lately been defeated by the Barbarians."
It would seem unlikely that Greek painters like Apelles or sculptors like Lysippus would have accompanied Alexander beyond his first visit to Ecbatana in 330 BC, if they even went that far. I've no idea if the actor Thessalus went with him.