This paper proposes an analytical taxonomy of ‘mystery’ based upon what makes a mystery mysterious. I begin by distinguishing mysteries that depend on what we do not know (e.g. detective fiction) from mysteries that depend on what we do know (e.g. religious mysteries). Then I distinguish three possible grounds for the latter type. The third and most provocative ground offers a mathematical analogy for how rational reflection can be appropriate to mystery without compromising its intrinsically mysterious character. I conclude with reflections on the metaphysical presuppositions that this understanding of mystery requires.