The Classical and Medieval worlds were rife with mysteries that were supposedly solved through complex theological, philosophical, and other means. We, in our modern scientific world, see these solutions as quaint superstitions at best; the setting of the sun is explained by a Geocentric universe, the origin of humanity is found in the myth of Adam and Eve (or, if you wish, Ask and Embla, Phaenon, etc. etc.), myths of afterlives, the existence of demons and angels, and so forth.
However, in a world permeated with magic such as those most often found in fantasy RPG campaigns, this becomes harder to sustain, as magic allows a level of certainty on these sorts of answers that is rivaled only by modern technology. Not sure what happens to souls after death? Use your astral spell to travel to the outer planes, and get a first-hand look. Is the world round or flat? A jaunt in a spelljammer ship can show you definitively. Do demons or angels exist? Well, yes, and so do gods; they take physical form and walk the earth. In many ways, “mechanistic” magic gives more certainty than technology ever could, thus robbing the world of mystery.
In such a world, mysteries come from paradox.
One mage ventures to the outer planes and reports three infinite layers of Hades, “adjacent” to which are four layers of Gehenna and six layers of Tarterus. A few years later, another attempts to recreate the journey and only finds a single plane, also called Hades, but which is home to both demodands and daemons. Who is right? Who is wrong? It’s a mystery, and the Oinodaemon isn’t talking. The mystery grows when the player characters, on two subsequent journeys, find both conditions, or maybe one that is completely different. Instantly, mystery is reintroduced into the campaign, through paradox.
In such a situation, the players will likely try to come up with a rational explanation. Was one an illusion? Let them attempt to come up with logical explanations, but never, as a GM, allow yourself to be boxed in by them. Even when they see what they believe is “conclusive proof” that one or another side of a paradox is “the truth”, the inherent mystery of the universe is always there, lurking in the background, ready to turn their rational, machine-like understanding of the world on its head.
Allowing for paradox also allows for radically different cosmologies adopted by different cultures, none of which has to be The True Cosmology. The worshipers of the Holy Family in my own campaign believe in a Sacred Island where all the faithful go after they die, and a fragmented underworld of Hell, the Abyss, Hades, etc. for evil-doers. Does the fact that the people of the Golden Kingdoms believe that when they die their soul will go to dwell on one of the stars in the heavens, with each star being home to a particular family, invalidate (or is it itself invalidated by) that view? Can both be true? Could neither be true, despite the fact that both are based on direct observation or revelation at one time or another? Of course, all of the above.
Even in a world with magic, nothing says that the universe has to be cataloged, logical, and 100% rational. Much like with the concept of mythic time, don’t let your own modern predilection for absolute certainty and logic get in the way of introducing a little mystery into your campaign now and again, even if it’s a mystery that is destined never to be solved.