“Mystery School’s, the ancient Mysteries, Mystery traditions” – what does “Mystery” mean, and why is it sometimes capitalized?

I had the question myself the first time I heard the term. I use the term often when speaking about Freemasonry and it’s a term you’ll see often when studying esoteric/occult teachings. It’s definition is quite vast and can’t really be articulated, but I’ll attempt to be as succinct as possible here, with a few quotes to aid in understanding.

Taken from Wiki:
“Mystery religions, mystery cults, sacred mysteries or simply mysteries, were religious schools of the Greco-Roman world for which participation was reserved to initiates (mystai). The main characterization of this religion is the secrecy associated with the particulars of the initiation and the ritual practice, which may not be revealed to outsiders.”

“A ‘mystery’, as it was originally defined in ancient Greece and used in the Orphic and Eleusinian mystery schools, is a type of divine revelation that can only be conveyed by experience and is incomprehensible to reason. The revelation initiates or begins a cognitive change in the recipient – also known as the initiate – that alters the way he or she sees and interacts with the world. It is not based on information or even feelings and therefore, it cannot be put into words.” – Kirk C. White

Simply put, what all Mystery schools have in common, is that they just offer a circumstance dedicated to giving the necessary space one needs to start to understand who they really are, for one to discover their real Self. So it’s the study of the Self, as an individual endeavor, and cannot be learnt/learned from anything/anyone outside of yourself.

Some of the documented, original, most ancient Mystery School’s that some may know are the Greco-Roman Mysteries (ie. Eleusinian, Samothracian, Mithriac, Dionysian, etc.)

Historically, “Their primary mission was to protect and preserve the ancient systems of enlightenment, healing, manifestation, transmutation and transformation so that they can be continually used by humanity for its collective progression. Mystery School teachings are imparted by an oral tradition. Rooted in shamanic and mystic ways of wisdom, these teachings are handed down unbroken from teacher to student in an unbroken lineage that has withstood the test of time. … To understand GOD, we must first understand ourselves who were made in their image. Mystery schools exist to empower us to ‘Know Thyself’.

As you can see, the term Mystery, when used to speak about the ancient tradition of the Mystery School’s, is not defined as most people use the word ‘mystery’ today.
Hopefully this helps one to understand what the ancient Mysteries are and what the Mystery School’s impart. But like I stated above, the “Mysteries” can only be known and felt by the individual. No one can explain to you what it is. You have to have direct contact with diety to truly understand.