An objective of the MESSENGER mission was to learn the physical processes that determined Mercury’s high bulk ratio of metal to silicate. In the course of addressing that objective, the mission discovered multiple anomalous characteristics about the innermost planet. The lack of FeO and the reduced oxidation state of Mercury’s silicate crust and mantle are more extreme than nearly all other known materials in the solar system. In contrast, moderately volatile elements are present in abundances comparable to or greater than those of the other terrestrial planets. No single process during Mercury’s formation is able to account for all of these observations. Here, we review the current ideas for the origin of Mercury’s distinctive characteristics. Gaps in understanding the innermost regions of the early solar nebula limit the testing of different hypotheses. Even so, all proposed models are incomplete and need further development in order to unravel Mercury’s remaining secrets.