The first mystery is simply that there is a Mystery. A Mystery that can never be explained or understood. Only encountered from time to time. Nothing is obvious. Everything conceals something else... Spiritual awareness is born of encounters with the Mystery.
Religion is a more or less organized way of remembering that every Mystery points to a high reality. A reality overarching and infusing this world with splendor. One pulsing through its veins. Unnoticed and unnamed. Of the Nameless One. A holiness so holy that it fills even our everyday illusions with spiritual meaning.