Just completed my third game and thought I'd actually won, but I'm not sure that I did.
It was on the final turn, the last Mythos card had been turned over. Jim culver entered the gate in Arkham and travelled to the Void Between Worlds. He succeeded and I placed an Eldritch token on the Final Mystery card, solving the mystery.
I thought I'd won. But, on reading the card it says the mystery is solved at the end of the Mythos phase, but there weren't any Mythos cards left.
So does that mean I didn't win?
Yes, yYou won. This has been discussed elsewhere and according to reference guide, if a win and lose condition occur at the same time (as in this case), the investigators win.
See End of mythos deck