Mystery Zones are undefined and therefore empty areas found outside the playable locations in Pokémon Diamond, Pearl, Platinum, HeartGold, and SoulSilver. They are almost impossible to access without using cheat codes, such as 'Walk through Walls', or load-related glitches.
In previous Pokémon games, the overworld consisted of a collection of discrete maps, "stitched" together with special data values. In the DS generation of Pokémon games, however, the overworld has been redesigned. It is now a single map divided into sections. Mystery Zones are simply unused sections. Interestingly, indoor Mystery Zones also exist, because the interior and exterior overworlds use two different maps. You can see the Mystery Zone when you enter a Pokémon Center. It is the black area around the walls.
A Mystery Zone typically consists of a large, empty, black expanse. In some cases, a Mystery Zone may consist of a single repeated terrain type—usually rocks, trees, or water. Zones are notable for their abnormal attributes; some Zones cause the camera to zoom slightly, and most cause a game crash if an HM other than Fly is used. As with most glitchy locations in the Pokémon series, saving the game while inside of a Mystery Zone is generally a bad idea. This is because your save file could be corrupted or even deleted.
Tilesets and textures can be mismatched. If a player uses a Mystery Zone to travel directly between two otherwise-disconnected areas, and if these areas use different tiles and textures, then the destination will end up glitched because its tileset will not load. For example, traveling directly from Canalave City to Lake Verity will cause the lake to display as a puddle, similar to those seen on the Fullmoon and Newmoon Islands.