In The Well of Ascension, the second Mistborn book by Brandon Sanderson, the heroes piece together the events that led to the rise of the Lord Ruler and discover that he took the power at the Well in order to defeat something called The Deepness. Eventually they come to believe that the Deepness is the mists; and we do indeed learn that the Lord Ruler moved the world closer to the sun in order to burn off the mists, and then had to create the ash to counteract this.

But, at the end of the third book, Hero of Ages, we learn that

the mists are really the body of Preservation; and Vin takes them into herself, gaining the power.

So, was there ever actually a threat from the mists? Was the Deepness actually something else? Or was the whole concept of the Deepness, and needing to go to the Well to beat it, a deception by Ruin?

(Note, I've only read the original trilogy; if the answer is in the subsequent books, I'd appreciate spoiler space. Thanks.)