What's the evidential impact of learning that something is a mystery? To answer this question, we first explicate the notion of a mystery in terms of unexplainability. After distinguishing different ways in which something can be unexplainable, we develop a test to evaluate the evidential impact of two distinct types of unexplainables: symmetrical and asymmetrical unexplainables. We argue that only asymmetrical unexplainables have evidential impact. We finally clarify how our explication of mysteries as unexplainables complements existing accounts of abduction and contributes to the literature on the mystery of consciousness.