I have no prior knowledge here, so I'm mostly summarizing Japanese articles here. (English information on these beings exists, but is difficult to find because it's mostly swamped by Shaman King-related websites.)
Zenki and Goki are, respectively, a male oni and a female oni ("ogres", if you will) who are married to one another. Their names mean, respectively, "oni of the fore" and "oni of the rear".
They are said to have been attendants to En-no-Ozuno, who is the founder of Shugendō, a syncretic derivative of Buddhism that is indigenous to Japan. Depictions of En-no-Ozuno very commonly feature these two oni flanking him. See, for example, the piece "En no Gyōja, Eight Boy Attendants
& Two Demon Attendants (Zenki & Goki)" shown in this article on Shugendō (by the way, that website is incredibly fascinating if you're interested in Buddhist symbology and art, and is a true wonder of the internet) - Zenki appears to the immediate bottom left of the central figure, and Goki to the immediate bottom right. The linked article also includes some narratives about these figures. See the section titled "Two Demon Attendants / Servants of Enno Gyōja".
I know nothing about Shaman King or Kishin Dōji Zenki; anyone who does should feel free to write an answer pointing out any pertinent details about how either of those things relates to the mythological Zenki and Goki.