A mystery is something that is veiled and not easily understood. The word mystery is used over twenty times in the New Testament. One example is in the last part of Ephesians chapter five. This passage is expounding on the relationship between husbands and wives, but at the end it takes a surprising turn and finishes with an astounding revelation.
“This mystery is profound, and I am saying that it refers to Christ and the church.” (Ephesians 5:32 ESV)
Paul reveals an amazing truth, referring to it as a mystery. But this doesn’t mean that God is trying to keep something from us. It’s a mystery because it’s something so wonderful and so profound that it’s difficult for us to grasp. It’s so beyond our ability to comprehend that God must reveal it to us by his Spirit.