The Muppets are a cornucopia of different species. Some are obviously Muppet versions of humans, like Statler and Waldorf...
... although it seems there's a distinction to be made even between a Muppet version of a human and an actual human, judging by the song Man or Muppet from The Muppets (2011).
As for other Muppets, some are apparently meant to belong to other subsets of the animal kingdom, like Kermit the Frog, who's been clearly identified as a frog at various times, like in The Muppet Movie (1979) (credit to PlutoThePlanet for this one), and a more recent interview with Ellen DeGeneres.
And some are alien, like Gonzo, whose extraterrestrial origins were revealed in Muppets from Space.