What is Shamballa?
In Tibetan Buddhist tradition, Shambhala (also spelled Shambala or Shamballa; Tibetan: བདེ་འབྱུང་; Wylie: bde 'byung, pron. De-jung) is a mythical kingdom hidden somewhere in Inner Asia. It is mentioned in various ancient texts, including the Kalachakra Tantra[2] and the ancient texts of the Zhang Zhung culture which predated Tibetan Buddhism in western Tibet. The Bön[3] scriptures speak of a closely related land called Olmolungring.
Whatever its historical basis, Shambhala gradually came to be seen as a Buddhist Pure Land, a fabulous kingdom whose reality is visionary or spiritual as much as physical or geographic. It was in this form that the Shambhala myth reached the West, where it influenced non-Buddhist as well as Buddhist spiritual seekers — and, to some extent, popular culture in general.
source: wikipedia