You want this atmosphere in the first line, the first paragraph and throughout the work until the last line. The atmosphere can be just as engaging and interesting as the characters.
According to How To Write Mysteries by Shannon OCork. Atmosphere is the first thing the reader sees, the first thing he feels, and the last thing he remembers. Proper atmosphere makes the difference, all other things being equal, between an ordinary mystery and a good one.
You want a mystery to have a mysterious air.
Don't Look Down - Suzanne Enoch
Headlights blazing, a car slowed at the turn-off to the main house, hesitated, then accelerated down the road and into the dark again.
What's in a Name? - Terry Odell
The thud from the front porch was definitely a knock.
Sleeping Murder - Agatha Christie
Gwenda Reed stood, shivering a little, on the quayside.
One For the Money - Janet Evanovich
There are some men who enter a woman’s life and screw it up forever.
As you can see by the first lines to these books they all have a different tone and feel and that is felt throughout the entire book.