http://www.feynmanlectures.caltech.edu/III_01.html#Ch1-S8
"We choose to examine a phenomenon which is impossible,
absolutely impossible, to explain in any classical way, and which has in it the heart of quantum mechanics. In reality, it contains the
only mystery. We cannot make the mystery go away by “explaining” how it works. We will just
tell you how it works. In telling you how it works we will have told you about the basic peculiarities of all quantum mechanics."
Feynman refers to the double slit experiment. However, most people would nowadays take the Bell tests to be the mystery of QM, not the double slit. There is interesting commentary in section 1 of
https://arxiv.org/abs/1301.3274. Whitaker comments that Feynman corrected himself in his later lectures on computation
https://aapt.scitation.org/doi/full/10.1119/1.4948268 "In any case, since what Feynman describes is indeed Bell's Theorem, it is extremely interesting that he adds that he often entertained himself by squeezing the difficulty of quantum mechanics into a smaller and smaller place, and he finds this place precisely in this analysis. Thus, Feynman's view is apparently clear—the content of Bell's Theorem is the crucial point that distinguishes classical and quantum physics."
"We make now a few remarks on a suggestion that has sometimes been made to try to avoid the description we have given: “Perhaps the electron has some kind of internal works—some inner variables—that we do not yet know about. Perhaps that is why we cannot predict what will happen. If we could look more closely at the electron, we could be able to tell where it would end up.” So far as we know, that is impossible. We would still be in difficulty. Suppose we were to assume that inside the electron there is some kind of machinery that determines where it is going to end up. That machine must
also determine which hole it is going to go through on its way. But we must not forget that what is inside the electron should not be dependent on what
we do, and in particular upon whether we open or close one of the holes. So if an electron, before it starts, has already made up its mind (a) which hole it is going to use, and (b) where it is going to land, we should find P1 for those electrons that have chosen hole 1, P2 for those that have chosen hole 2,
and necessarily the sum P1+P2 for those that arrive through the two holes. There seems to be no way around this. But we have verified experimentally that that is not the case. And no one has figured a way out of this puzzle. So at the present time we must limit ourselves to computing probabilities. We say “at the present time,” but we suspect very strongly that it is something that will be with us forever—that it is impossible to beat that puzzle—that this is the way nature really
is."
Feynman says something similarly erroneous in this
video around 51 minutes.
Hidden variables for the double slit are possible.