You’ll find Stonehenge in the north of Hamtunscire, southwest of Readingum Abbey. When you arrive, be sure to read the inscription on the stone which can be found at the southwest of the monument. This will trigger a dialogue from Brendan of Clonfert.
To complete the mystery, you’ll need to stand near the centre of the monument and use Odin’s Sight to highlight the symbols on the monument. Once you can see them, face northwest and move around until you trigger a zoom as you focus on the relevant symbol. At this point you should stay where you are, and only move where you’re facing until the symbol begins to glow and the mystery completes, earning you +1 Skill Point. If you’re having trouble figuring out where you should be standing, be sure to check the screenshot below.