Shambhala, according to the Tibetan Theology, is a hidden kingdom underground located in today's Himalayas. The name Shambhala can be translated as "the land of peace". According to Helena Blavatsky who has written the Secret Doctrine, it is kind of network of underground cities with different exit locations.
Today, there are arguments that the world is actually governed by this underground kingdom. Shambhala is considered as a secret society which evolved thousands years ago in the lost civilization called Lemuria. The society which forms Shambhala came from Lemuria (Mu) continent just before the Great Disaster which caused whole continent to sink under the ocean. Interestingly today, there are some remnants and buildings which support this theory. Located southeast of Japan, divers have found giant buildings and pyramids under the ocean which was built thousands years ago. All the theology and technology than transfered to Tibet from Lemuria which had a connection to the sea at that time.
The religion in Mu had a single god, the sun god, which had the all powers and the authority. This belief has spread to Tibet as a result of the disaster and by the people who could escape from Mu. And Shambhala is believed to be the continuation of this belief and culture which has root in Mu religion and technology.