The funniest thing about The X-Files is that is really is just Mulder's private project (at first) and the reason everyone is hostile isn't because they don't believe in aliens and cryptids, it's because it isn't FBI business unless they're running guns or cocaine.

Even running guns is questionable since it may encroach on the ATF's jurisdiction, unless the guns are being transported in support of other, organised criminal activities.

To Mulder's credit, at least some of these cases are similar to going after a serial killer, which is absolutely his job, but only a handful of those are targets which have legal US citizenship, or any legal identity, and can be prosecuted. He's in the wrong agency is the problem.