Jethro was the “priest of Midian” and the father-in-law of Moses (Exodus 3:1; 4:18). He was also called “Reuel” (Exodus 2:18) and is described as a Midianite in Numbers 10:29.
The original Midianites were probably descendants of Midian, one of Abraham’s sons by Keturah (Genesis 25:1-4). The land where they lived then became known as “Midian” (Exodus 2:15). It is likely that the people who lived in the land of Midian were then all called Midianites, even if they were not descendants of Midian. For example, some descendants of Ishmael appear to be called Midianites (Genesis 37:25,28; Judges 8:24).
We don’t know whether Jethro was a descendant of Midian, or whether he had some other ancestry but lived in the land of Midian.
In Judges 1:16, Jethro is described as a “Kenite” but that may not relate directly to his ancestry. The word keni in Aramaic means “smith” and it is thought that the Kenites may have been metal workers.