This is not my period, and I will bow to someone who does actually specialize in this period, but I have done a good amount of research on this topic.

It's not really as much of a mystery as it has been made out to be, and hasn't been ever since the colonists were found to be missing 425 years ago. Governor John White left the colony to return to Europe for supplies, and he left instructions with the group that if they had to leave the colony (something that was entirely possible, and was definitely an option, since they were having public relations issues with the natives as well as problems with their food supply, evacuating the colony for better pastures was a definite option that everyone knew was on the table) that they would leave an inscription on a tree about where they went. If they left under duress, they would carve a cross into a tree. If they left of their own free will, they would leave a clue inscribed into a tree about where they went. You can read Governor John White's personal account of the matter here.

according to a secret token betweene them & me at my last departure from them, which was that in any wayes they should not faile to write or carve on the trees or posts of the dores the name of the place where they should be seated, for at my comming away they were prepared to remove from Roanoke 50 miles into the maine ... if they should happen to be distressed in any of those places that then they should carve over the letters or name a crosse + in this forme, but we found no such sign of distresse.

When he came back and found them gone, and found the word "croatoan" written on a tree, it was assumed that the colonists fell on hard times during the winter (something they thought might happen, and planned for) and joined up with some native Americans living on Croatoan Island (modern day Hatteras Island). This island was the home of their closest Native ally, their guide Manteo. They had somewhat spoiled relations with other local tribes, due to some ill-advised conflicts, and some deaths, and immediately before the winter one colonist had been killed by natives. So it would make sense for them to go there. And John White states in the source I linked above, that he was glad they had gone to a safe place with their guide, saying

I greatly joyed that I had safely found a certaine token of their safe being at Croatoan, where Manteo was borne, and the savages of the Ilande our friends

Again, this was a previously agreed-upon sign stating their peaceful evacuation of the colony and move to Hatteras Island.

So it was known from the moment they were discovered to be gone that they had ended up on Hatteras Island among the natives. They basically said so. That's what the whole "CROATOAN" inscription was. It was a pre-agreed upon way of saying "yeah, winter was tough, we had to leave, we went to Croatoan Island with Manteo".

John White was unable to go check on them and verify this, due to the onset of some really bad weather, and the desires of the crew of the ship he was on (privateering), so he never was able to check on or rejoin the colonists on Hatteras Island. That's where a lot of the mystery comes from, the inability of Governor White to come back and check.

Now, what happened to the colonists after they moved to Hatteras Island? That's the part we're not sure about. However, both John Smith and William Strachey (of the Jamestown colony) report that Chief Powhatan (yeah, Pocahontas' dad) told them that he had killed the colonists during a conflict with a group of natives among whom they were living just before the Jamestown colonists landed. Strachey reported this in his The Historie of Travaile Into Virginia Britannia, also noting that he had heard that several colonists had escaped the massacre.

Now, as I said, I am not a scholar of this period, so I am not knowledgeable about the current scholarly consensus on the evaluation of these sources. But after reading Governor White's account, I am confident that the colonists left and settled on Hatteras Island, and that they either integrated with the natives there, moved again at some point to another location with the natives, or were killed in a conflict between native groups, or perhaps some combination thereof.