A mystery is something that baffles our understanding and cannot be explained. The giant slabs of Stonehenge, remain a mystery to this day.
The noun mystery comes from the Greek mysterion, meaning "secret rite or doctrine." A great synonym for secret is enigma. We use this word all the time to describe stuff we don't understand, from crop circles and UFOs to the origins of the universe and the workings of the human brain. In literature, drama, and film, a mystery is a story that centers around a crime, usually murder, which finally gets solved at the very end.