I don’t like this saying about Russian soul, because it doesn’t make sense for me. I think every person’s soul is an enigma of sorts. People of different cultures can’t fully understand each other, it’s common knowledge. So why don’t we talk about enigmatic English soul or something? We talk about specific English humour and that’s it.
I have no idea why people call Russian soul enigmatic, maybe because I’m Russian myself.
I think we can say that people from Europe and the US are individualists whereas Russians still have this way of thinking, that each of us is a part of a whole, and not something individual. People from capitalist countries are often fascinated with communist ones, and the biggest object of interest is obviously the USSR. Just look at all the books about Soviet times and Soviet people. I read some of those books and I can say that life in the USSR is an enigma for western people, that's why they are so intrigued by it. Maybe this is also the reason why Russian soul is called an enigma, because, you know, many people only think about Russia when they think about the USSR.

(if you are wondering whether that's my home assingment - damn right it is)