Mist is a phenomenon of small droplets suspended in air. It can occur as part of natural weather
Weather is the state of the atmosphere, to the degree that it is hot or cold, wet or dry, calm or stormy, clear or cloudy. Most weather phenomena occur in the troposphere, just below the stratosphere. Weather refers, generally, to day-to-day temperature and precipitation activity, whereas climate...

 or volcanic activity, and is common in cold air above warmer water, in exhale
Exhalation is the movement of air out of the bronchial tubes, through the airways, to the external environment during breathing....

d air in the cold, and in a steam room of a sauna
A sauna is a small room or house designed as a place to experience dry or wet heat sessions, or an establishment with one or more of these and auxiliary facilities....

. It can also be created artificially with aerosol canisters
Aerosol spray
Aerosol spray is a type of dispensing system which creates an aerosol mist of liquid particles. This is used with a can or bottle that contains a liquid under pressure. When the container's valve is opened, the liquid is forced out of a small hole and emerges as an aerosol or mist...

 if the humidity
Humidity is a term for the amount of water vapor in the air, and can refer to any one of several measurements of humidity. Formally, humid air is not "moist air" but a mixture of water vapor and other constituents of air, and humidity is defined in terms of the water content of this mixture,...

 conditions are right.

The only difference between mist and fog
Fog is a collection of water droplets or ice crystals suspended in the air at or near the Earth's surface. While fog is a type of stratus cloud, the term "fog" is typically distinguished from the more generic term "cloud" in that fog is low-lying, and the moisture in the fog is often generated...

 is visibility http://www.rcn27.dial.pipex.com/cloudsrus/mistnfog.html.