When you're mystified, you're completely confused. You'll probably feel mystified by the subway system in a foreign country the first time you attempt to use it.
On the first day of high school, there are plenty of mystified students wandering the halls, and some mystified new parents aren't sure what to do with a crying baby. When a situation leaves you baffled or puzzled, you're mystified. The verb mystify is at the root of the adjective mystified, from the French word mystifier, which is thought to come from either mystique, "a mystic," or mystère, "a mystery."