Hot take first: most people underprep the behavioral round at startups like Mercury and way overprep the technical. Then they're surprised when the behavioral is what sinks them.
Mercury's behavioral round is tied closely to their actual values, which they're pretty public about. Think things like "be direct", "customers first", something around financial integrity. The questions aren't abstract. They're specific to situations that would actually come up at a company that holds real money for real businesses.
Questions I got or heard secondhand from folks I talked to: "Tell me about a time you had to push back on a product decision you thought was risky." (This came up twice in different forms.) "Describe a time you had to make a call with incomplete information. How did you decide?" Classic, but they want specifics. "Have you ever caught a bug or error that had the potential to affect customers financially? What did you do?" "Tell me about a working relationship that was difficult and how you navigated it."
What I noticed: they pushed for specificity hard. Vague STAR answers got follow-up questions like "what was the actual outcome" or "who specifically was involved and what was their role." If you're giving polished non-answers, they'll keep drilling.
Also: the integrity question showed up in some form for every person I talked to. Not surprising given the product. If you don't have a story about catching something wrong and escalating it, find one before you walk in.
One more thing. They do ask why Mercury. Not just "why fintech" but specifically why Mercury. The answer matters. They're at a growth stage where they can tell the difference between someone who did 20 minutes of research and someone who's actually thought about the product.