When SpongeBob first finds her, he wanted to have her as a pet. SpongeBob considered naming her Grace, Majesty, or maybe even Debbie, but finally decided upon the name Mystery. SpongeBob tames her and then become friends, and they do many things together.
Mr. Krabs doesn't like Mystery, and wants SpongeBob to let her go, although SpongeBob lies about Mystery having a stomachache. He is afraid for Mystery to go, but Mr. Krabs tells him a story about when he spent his first dollar to convince him that it's for his own good, and Spongebob finally agrees with him.
Mystery is then let go by SpongeBob, albeit reluctantly. Soon, Squidward notices that she ate the bank, and SpongeBob and Mr. Krabs start chasing after her, yelling at her to come back.