If you are using Mental Ray, make sure under “Render Settings” - “Quality” - “Framebuffer”, the “Premultiply” checkbox is on.
If you are using Maya Software renderer, make sure under “Render Options” - “Color/Compositing”, the “Premultiply” checkbox is on.
Make sure it’s rendered with alpha channel and black background.
By default, Nuke read image files as “un-premultiplied”, thus creates a grey or white edge effect.
To avoid this, make sure the image is rendered with black background and “Premultiply” checked on, and in Nuke’s Read node, the “premultiplied” checkbox is on.