Modern Catholic Dictionary:
MYSTERY. A divinely revealed truth whose very possibility cannot be rationally conceived before it is revealed and, after revelation, whose inner essence cannot be fully understood by the finite mind. The incomprehensibility of revealed mysteries derives from the fact that they are manifestations of God, who is infinite and therefore beyond the complete grasp of a created intellect. Nevertheless, though incomprehensible, mysteries are intelligible. One of the primary duties of a believer is, through prayer, study, and experience, to grow in faith, i.e., to develop an understanding of what God has revealed. (Etym. Greek mystērion , something closed, a secret.)