For Catholics, the term Mystery refers to what is revealed to us, and we, by Faith put into us (as DavidFilmer wrote), call the revealed thing True and Good to be part of. The Faith is not in the revealed thing, but it is believing in the one revealing it - believing and trusting that this person is true and all they tell us is true and good to be part of . This person we trust is Jesus and those he has sent to us personally, the apostolic Church.
The content of the Mystery can be understood by reason, but the truth of it is in the hands of Jesus’ being true. We believe Jesus and his Church is truthful in telling us there is a Trinity and who the Trinity is, and we use our reason to understand the workings of the Trinity, how we are united to the Trinity, etc.
This is how I approach explaining the understanding of the Mysteries at my website called, “SoftVocation : Understanding the Mysteries” at softvocation.org/2013/12/27/the-trinity/
The sequence is, Take Jesus at his Word (faith), then think (reason) about the content of his words, what they mean. When you then reason about it, you are having it as a real object of your knowing, it becomes part of you and you become part of it (which is what you want when you consider something “good”).