Shambhala is a specific element of a specific system. It appears in the Kalachakra tantra as a kingdom to the north, ruled by a line of kings, where the teaching is preserved, and the associated prophecy has a future king emerging with an army at a time of decline. The Third Panchen Lama wrote a guidebook to reaching it. Within Tibetan Buddhism it functions partly as a place and partly as a state, and serious commentators have long read the journey as internal.
Its Western career began with Theosophy, which folded the hidden kingdom into its account of masters directing human affairs from a concealed centre. Nicholas Roerich, painter and traveller, pursued the theme across Central Asia in the 1920s with expeditions that had diplomatic and political dimensions. James Hilton's Shangri-La, from a novel of 1933, is a fictional descendant that most people now encounter first.
Two claims should be handled carefully. The story that Nazi Germany mounted a Tibetan expedition in search of Shambhala is mostly invention attached to a real 1938 zoological and anthropological expedition. And the secular Shambhala Training established by Chogyam Trungpa from the 1970s is a deliberate adaptation for a Western audience, not a transmission of the tantric material, and its founder said so.