The Mist was a collective name for powerful inhabitants of a time-shifted dimension.
Around Earth's 4th century, five star systems developed the technology to cross into another dimension (the later shift becoming known as the Great Move) and often returned to normal space to bring other star systems into the other dimension. The individuals later brought over included Bajorans, Cardassians, Humans, Jibetians, Klingons and a dozen other races. In 2373, the Mist attempted to bring Deep Space 9 into their dimension, but were stopped by Benjamin Sisko and the crew of the USS Defiant, with help from Captain Jackson, a Human member of the Mist's military and Sotugh. The Mist later decided to isolate themselves from the Federation and the Klingon Empire. (DS9 - The Captain's Table novel: The Mist)