“One may say "the eternal mystery of the world is its comprehensibility."”
From the article "Physics and Reality" (March 1936), reprinted in Out of My Later Years (1956). The quotation marks may just indicate that he wants to present this as a new aphorism, but it could possibly indicate that he is paraphrasing or quoting someone else — perhaps Immanuel Kant, since in the next sentence he says "It is one of the great realizations of Immanuel Kant that the setting up of a real external world would be senseless without this comprehensibility."
Other variants:
The eternally incomprehensible thing about the world is its comprehensibility.
In the endnotes to Einstein: His Life and Universe by Walter Isaacson, note 46 on p. 628 http://books.google.com/books?id=cdxWNE7NY6QC&lpg=PP1&pg=PA628#v=onepage&q&f=false says that "Gerald Holton says that this is more properly translated" as the variant above, citing Holton's essay "What Precisely is Thinking?" on p. 161 of Einstein: A Centenary Volume edited by Anthony Philip French.
The most incomprehensible thing about the world is that it is comprehensible.
This version was given in Einstein: A Biography (1954) by Antonina Vallentin, p. 24, and widely quoted afterwards. Vallentin cites "Physics and Reality" in Journal of the Franklin Institute (March 1936), and is possibly giving a variant translation as with Holton.
The most incomprehensible thing about the world is that it is at all comprehensible.
As quoted in Speaking of Science (2000) by Michael Fripp
The eternal mystery of the world is its comprehensibility … The fact that it is comprehensible is a miracle.
As quoted in Einstein: His Life and Universe by Walter Isaacson, p. 462 http://books.google.com/books?id=cdxWNE7NY6QC&lpg=PP1&pg=PA462#v=onepage&q&f=false. In the original essay "The fact that it is comprehensible is a miracle" appears at the end of the paragraph that follows the paragraph in which "The eternal mystery of the world is its comprehensibility" appears.
1930s
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Albert Einstein 702
German-born physicist and founder of the theory of relativi… 1879–1955Related quotes
Source: Dictionary of Burning Words of Brilliant Writers (1895), P. 422.

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Letter to George Logan (12 November 1816). Published in The Works of Thomas Jefferson in Twelve Volumes http://oll.libertyfund.org/ToC/0054.php, Federal Edition, Paul Leicester Ford, ed., New York: G. P. Putnam's Sons, 1904, Vol. 12 http://oll.libertyfund.org/Texts/Jefferson0136/Works/0054-12_Bk.pdf, pp. 43
1810s

65; a slight variant of this statement was later published in Parables and Paradoxes (1946):
The expulsion from Paradise is in its main significance eternal:
Consequently the expulsion from Paradise is final, and life in this world irrevocable, but the eternal nature of the occurrence (or, temporally expressed, the eternal recapitulation of the occurrence) makes it nevertheless possible that not only could we live continuously in Paradise, but that we are continuously there in actual fact, no matter whether we know it here or not.
The Zürau Aphorisms (1917 - 1918)

Fragment No. 16
Variant translations:
We dream of a journey through the universe. But is the universe then not in us? We do not know the depths of our spirit. Inward goes the secret path. Eternity with its worlds, the past and the future, is in us or nowhere.
As translated in "Bildung in Early German Romanticism" by Frederick C. Beiser, in Philosophers on Education : Historical Perspectives (1998) by Amélie Rorty, p. 294
We dream of journeys through the cosmos — Is the cosmos not then in us? We do not know the depths of our own spirit. — The mysterious path leads within. In us, or nowhere, is eternity with its worlds — the past and the future.
Blüthenstaub (1798)
Context: Imagination places the future world for us either above or below or in reincarnation. We dream of travels throughout the universe: is not the universe within us? We do not know the depths of our spirit. The mysterious path leads within. In us, or nowhere, lies eternity with its worlds, the past and the future.

The Epistle to the Romans (1918; 1921)
Context: The revelation in Jesus, just because it is the revelation of the righteousness of God is at the same time the strongest conceivable veiling and unknowableness of God. In Jesus, God really becomes a mystery, makes himself known as the unknown, speaks as the eternally Silent One.<!-- p. 73

Source: Reason: The Only Oracle Of Man (1784), Ch. II Section I - Of The Eternity of Creation
Context: As creation was the result of eternal and infinite wisdom, justice, goodness, and truth, and effected by infinite power, it is like its great author, mysterious to us. How it could be accomplished, or in what manner performed, can never be comprehended by any capacity.
Eternal, whether applied to duration, existence, action, or creation, is incomprehensible to us, but implies no contradiction in either of them; for that which is above comprehension we cannot perceive to be contradictory, nor on the other hand can we perceive its rationality or consistency.

Hong, 1987/2013. p. 296
1840s, Either/Or (1843)