It isn't much of a mystery if you believe in the concept of reincarnation, for which there is ample evidence. Furthermore, there are more planets out there in the universe with intelligent life than just Earth, so it stands to reason that there could be souls who have died here and have incarnated on other worlds, or vice versa.
Originally posted by scibuster
Another aspect to keep in mind is that the multiverse is infinite — even the known material universe has been scientifically proven to still be expanding — and that time is not what we think it is. And this in itself would then also come to mean that even souls who have incarnated on Earth (or elsewhere) are still present to some degree on the astral planes and beyond.
"Reality is only but an illusion, albeit a persistent one."
Even though I personally don't think that our mortal existence here would be a computer simulation — as some appear to think it would be, e.g. Nick Bostrom — it is, in essence, a simulation of some sorts, similar to a dream. We don't actually exist "here". We exist elsewhere, but our consciousness dwells here in this simulated reality.
It's just like when you are asleep and dreaming, i.e. your consciousness dwells in an environment which is a figment of your imagination and was created by your neurons — which do not all "sleep" at the same time — from your memories, knowledge and subconscious feelings.