When it comes to the human body, it's taken a few millennia to have a pretty good understanding of the basic anatomy and physiology involved, but by now we do know many of the mechanisms at work. Here is a short history of the study of the nervous system, for instance.
When it comes to the mind however, and especially to the relationship between mind and body, we're still pretty clueless. The placebo effect is a case in point: your mind can trick itself into feeling better all by itself and without realizing it (and it can even produce physical effects, like changes in plasma levels in your body). Though we are learning more and more about the correlation between our expectations and certain outcomes, we still have no clue precisely how this happens.
Nevertheless, the discoveries currently being made are still fascinating. You might not think so, but as the following animation by Dr. Funk shows, it turns out placebo capsules are stronger than placebo pills, placebo injections are stronger than placebo capsules, and placebo surgeries are more powerful than placebo injections... and of course, they're all fake, but the effects are real. Weird, isn't it?
And if you want to learn about the Nocebo effect (the placebo effect's evil twin), check out this ridiculously fun exposition by Ben Goldacre.