Mist is a phenomenon caused by small droplets of water suspended in air. Physically, it is an example of a dispersion. It is most commonly seen where warm, moist air meets sudden cooling, such as in exhaled air in the winter, or when throwing water onto the hot stove of a sauna. It can be created artificially with aerosol canisters if the humidity and temperature conditions are right. It can also occur as part of natural weather, when humid air cools rapidly, for example when the air comes into contact with surfaces that are much cooler than the air.
The formation of mist, as of other suspensions, is greatly aided by the presence of nucleation sites on which the suspended water phase can congeal. Thus even such unusual sources as small particulates from volcanic eruptions, releases of strongly polar gases, and even the magnetospheric ions associated with polar lights can in right conditions trigger the formation of mist and can make mirrors appear foggy. Mist on mirrors should not be mistaken for condensation as they are very different. Mist is a collection of water droplets but condensation is the water droplets in a different form.
Mist is commonly mistaken for fog. These two things are very different, however they do have some things in common. Fog and mist are both formed the same way. Fog is denser and generally lasts for longer but mist is thinner and you can see more clearly through it.