It is mostly mentioned in very ancient texts and it's legend dates back to a thousand years or more. Some of these ancient texts are the Kalachakra Tantra, the arcane scriptures of the Zhang Zhung culture, the Bön scriptures and the Vishnu Purana.
As told in legend, the mystical land of "Shambhala" is a place where one can become immortal, never to suffer or be weak again, and it's filled with wisdom and love all around it. The Kalachakra speaks of Shambhala in greater detail, saying that only individuals with the appropriate Karma can reach it. The texts also prophecise an "End of the world" event, in which the "Barbarians" will rage war against the Shambhala.
Watch the following video to learn more.