The 32-year-old star performed the song at the Delta Tejo Festival in Portugal on July 2.
'Mystery' is expected to appear on her fifth studio album Lifestyle, due to be released in 2012, reports Billboard.
Although Furtado unveiled Mi Plan in 2009, Lifestyle will be the first English album from the singer since her multi-million-selling record Loose in 2006.
Furtado is rumoured to have worked with Pharrell on new material and recently confirmed that Nas will appear on a track with her, tweeting: "Just finished rough mix of my new track featuring Nas. You'll hear it soon!!! Xo."
Watch Nelly Furtado perform 'Mystery' and 'Promiscuous Girl' live below: