Yes, despite the fact that pellet grills/smokers are electrical and they do feature electrical components they are able to be stored outside and be exposed to the rain.

However, most pellet grill/smoker brands will encourage their owners to use a cover to deflect as much rain/snow off the surface of the pellet grill as possible. As most pellet grills are made from carbon steel, keeping them as dry as possible will help to avoid issues with corrosion/rust.

If a pellet grill/smoker is going to be left outside its very important that the lid on the pellet hopper is not only down, but that its properly fixed into position. Even if the hopper is empty of pellets, you don't want rain getting into the hopper.