“I may say Christianity itself divided into its thousands also, who are disputing, anathematizing and where the laws permit burning and torturing one another for abstractions which no one of them understand, and which are indeed beyond the comprehension of the human mind”

Letter to Mathew Carey (11 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, p. 42
1810s

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

"The Premature Burial" (1844).

"The Illusion of Rewards", p. 43
Awareness (1992)
Context: Do you know what eternal life is? You think it's everlasting life. But your own theologians will tell you that that is crazy, because everlasting is still within time. It is time perduring forever. Eternal means timeless — no time. The human mind cannot understand that. The human mind can understand time and can deny time. What is timeless is beyond our comprehension. Yet the mystics tell us that eternity is right now. How's that for good news? It is right now. People are so distressed when I tell them to forget their past. They're crazy! Just drop it! When you hear "Repent for your past," realize it's a great religious distraction from waking up. Wake up! That's what repent means. Not "weep for your sins.": Wake up! understand, stop all the crying. Understand! Wake up!

For My Legionaries: The Iron Guard (1936), Politics

Crisis of the House Divided: An Interpretation of the Issues in the Lincoln Douglas Debates http://archive.li/CFqbg (1959), p. 195
1950s
Context: Lincoln was again and again to refer to the proposition, 'all men are created equal', as an 'abstract truth', a truth which was the life principle of American law. The implications of this truth were only partially realized, even for white men, and largely denied as far as black men were concerned. Yet it supplied the direction, the meaning, of all good laws in this country, although the attempt at that time to achieve all that might and ought ultimately to be demanded in its name would have been disastrous. A law is foolish which does not aim at abstract or intrinsic justice; and so is it foolish to attempt to achieve abstract justice as the sole good by succumbing to the fallacy to which the mind is prone, which regards direct consequences as if they were the only consequences. Those who believe anything sanctioned by law is right commit one great error; those who believe the law should sanction only what is right commit another. Either error might result in foolish laws; and, although a foolish law may be preferable to a wise dictator, a wise law is preferable to both.

Source: The Way Towards The Blessed Life or the Doctrine of Religion 1806, p. 78

Man and Socialism in Cuba (1965)

Boccioni's quote, from his lecture, Rome, May 1911, Boccioni's lecture 'La Pittura Futurista', 1911; as quoted in Futurism, ed. Didier Ottinger; Centre Pompidou / 5 Continents Editions, Milan, 2008, p. 55
1911