Mystery Castle was built by Boyce Luther Gulley over a 15 year period. The mystery in Mystery Castle, is what compelled Gulley to abandon his job, wife, and his one year old daughter and set off to build the castle.

Gully disappeared altogether for three years before turning up in Phoenix and beginning work on the castle. The Castle is said to be held together by a combination of mortar, cement and goats milk, and built from a wide range of materials including stone, adobe, automobile parts, salvaged rail tracks and telephone poles. Despite having 18 rooms, 13 fireplaces and numerous parapets, until recently, the castle had no running water or electricity.

In 1945, Gulley's abandoned wife and daughter received a call from a lawyer. They learned of Gulley's recent death, the first they had heard of Gulley since his disappearance, and of the castle he had built, which was now rightfully theirs.

Gulley's daughter, who died in 2010, lived in the castle and gave tours with her granddaughter for many years.