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Is there a difference between 'mysterious' and 'perplexing' when used with regard to some unexplained phenomena?

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A mystery is something you do not understand, probably because it is (very) difficult to understand based on what you know about it; you may or may not care about this lack of understanding.

If a phenomenon is perplexing, you are emotionally moved because you have come upon a phenomenon that you do not understand: you might be merely very surprised, or possibly annoyed owing to your failure to understand, or (rarely) pleasantly surprised. Perplexity is mostly a stronger version of surprise.

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Mysterious refers to a vague unknown, with an implication that there is something exotic, maybe even dangerous going on. You don't necessarily want to find out what it is.

Perplexing refers to something more specific, something like a puzzle you want to solve.

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Perplexing means "completely impossible to understand", while mysterious means "difficult or impossible to understand, explain, or identify".

This is a perplexing problem.
His colleague had vanished in mysterious circumstances.
She is a mysterious woman.

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