Supernatural truths are divinely introduced via revelation from God, and so are referred to as ‘mysteries’ – as they are not “self-evident” (natural) truths (Rom 1:20; 2:14-15). Here is a collection of Zondervan NASB Study Bible notes on verses which contain the word “mystery” or “mysteries”. A nice supplement to this thread is the faith thread I will post in a minute.

Matthew 13:10-17 (read it) NASB note: Jesus speaks in parables because of the spiritual dullness of the people.

Mark 4:11-12 (read it) NASB note: In the NT “mystery” refers to something God has revealed to His people. The mystery (that which was previously unknown) is proclaimed to all, but only those who have faith understand. In this context the mystery seems to be that the kingdom of God had drawn near in the coming of Jesus Christ. / Jesus likens His preaching in parables to the ministry of Isaiah, which, while it gained some disciples (Is. 8:16), was also to expose the hardhearted resistance of the many to God’s warning and appeal.

Luke 8:10 (read it) NASB note: “mysteries of the kingdom of God.” Truths that can only be known by revelation from God (Eph 3:2-5; 1 Pet 1:10-12). “that seeing they may not see.” This quotation from Isaiah (6:9) does not express a desire that some would not understand, but simply states the sad truth that those who are not willing to receive Jesus’ message will find the truth hidden from them. Their ultimate fate is implied in the fuller quotation in Matt 13:14-15.

Romans 11:25 (read it) NASB note: “mystery.” The so-called mystery religions of Paul’s day used the Greek word (mysterion) in the sense of something that was to be revealed only to the initiated. Paul himself, however, used it to refer to something formerly hidden or obscure but no revealed by God for all to know and understand (see 16:25; 1 Cor. 2:7; 4:1; 13:2; 14:2; 15:51; Eph 1:9; 3:3-4, 9; 5:32; 6:19; Col. 1:26-27; 2:2; 4:3; 2 Thess 2:7; 1 Tim 3:9,16). The word is used of (1) the incarnation (1 Tim 3:16; see note there), (2) the death of Christ (1 Cor 2:7, “God’s wisdom is a mystery”), (3) God’s purpose to sum up all things in Christ (Eph 1:9) and especially to include both Jews and Gentiles in the NT church (Eph 3:3-6), (4) the change that will take place at the resurrection (1 Cor 15:51), and (5) the plan of God by which both Jew and Gentile, after a period of disobedience by both, will by His mercy be included in His kingdom (v. 25).

Ephesians 3:3 (read it) NASB note: Here the word “mystery” has the special meaning of the private, wise plan of God, which in Ephesians relates primarily to the unification of believing Jews and Gentiles in the new body, the church (see v.6). It may be thought of as a secret that is temporarily hidden, but more than that, it is a plan God is actively working out and revealing stage by stage (cf. 1:9-10; Rev. 10:7).

Colossians 1:26 (read it) NASB note: This word (mystery) was a popular, pagan religious term, used in the mystery religions to refer to secret information available only to an exclusive group of people. Paul changes that meaning radically by always combining it with words such as “manifested” (here), “made known” (Eph 1:9), “bring to light” (Eph 3:9) and “revelation” (Rom 16:25). The Christian mystery is not secret knowledge for a few. It is a revelation of divine truths—once hidden but now openly proclaimed.

1 Corinthians 2:14 is apparently ued to support the idea that unregenerate persons cannot even understand the Gospel or any spiritual truths of Scripture. Geisler responds:

This interpretation, however, fails to take not that the word “receiveth” (Greek: dekomai) means “to welcome.” It simply affirms that while he does perceive the truth (Rom. 1:20), he does not receive it. There is no welcome in his heart for what he knows in his head. He has the truth, but he is holding it down or suppressing it (Rom. 1:18). It makes no sense to say that an unsaved person cannot understand the gospel before he is saved. On the contrary, the entire New Testament implies that he cannot be saved unless he understands and believes in the gospel. (pp. 61-62, Chosen but Free)