Greta Garbo's usual fine performance, along with a good supporting cast and an interesting (if somewhat familiar) story, make "The Mysterious Lady" a very good melodrama. It has a good mix of romance, intrigue, and suspense that gets the most out of the fairly simple premise, and along the way there are also some good touches by director Fred Niblo.
In a part similar to her role in the better-known "Mata Hari", Garbo here plays a glamorous Russian spy who targets an Austrian officer, aiming at first to steal important military secrets, but soon genuinely falling in love with him. The conflict between personal feelings and perceived patriotic duty sets up the rest of the drama, and it builds up to an interesting climactic scene, with an exuberant party taking place in Warsaw while, in a private room, a tense confrontation plays out.
Besides keeping a good pace and atmosphere, there are a few places where Niblo's direction also highlights key props in a fashion that would have pleased Hitchcock. And while Garbo as usual dominates the screen, the supporting cast features solid performances. Conrad Nagel plays the Austrian, with Gustav Von Seyffertitz as a Russian spy-master. Perhaps the best performance in the supporting cast is by Edward Connelly, in a smaller role as Nagel's uncle. It's a good combination that makes for a very good movie.