>without it crumbling down
Which is an underappreciated part. They didn't only build pyramids, it's just pyramids had a much higher chance of actually surviving the millennia so it looks like early human civilizations were weirdly obsessed with pyramids. You never hear any theories about how aliens built the Colossus of Rhodes, but the pyramids get it because they're still around.
If there was ever a candidate for alien intervention its the roman aqueducts, and like you said, I never see any conspiracies for that either. The romans figured out water filtration, built a massive underground network, figured out hydraulic pressure, and created concrete that can set underwater and resisted cracking.
Far more impressive than a pyramid IMO.