A mystery that really intrigues me is the the Indus Valley Civilization. They were large well planned cities on the banks of the river Indus. They had an advanced sanitation system and their people were great designers/builders.
Eventually the people started to abandon the cities or maybe they perished. The cities were excavated years later by archaeologists. No one has been able to exactly pin-point the cause of the destruction of the cities (there are multiple theories though). They had an entire script that no one has been able to translate.
The archaeologists have unearthed idols, buildings, utensils, money (coins). It's just interesting how they just ceased to exist for so many years.
Edit: Redditors who are saying that Indus Valley Civilization is from Pakistan, please note that it was a group of cities. While the major cities (Harappa and Mohenjo-Daro) are in Pakistan, India does have some of the smaller cities like Dholavira and Rakhigarhi.