I have not seen the movie, so I honestly don't know if it contains spoilers, but I have cut the excerpt for your protection anyway. (Please be careful of the comments too, since I don't know if they will be spoilerific!)
The source page is here.
Shambhala (Śambhala), Skt.; name of a mythical kingdom, the geographical location of which is uncertain, but which according to legend lies northeast of India. It is considered the place of origin of the Kālachakra teachings and, with all its associations as a “source of auspiciousness,” plays a central role in Tibetan Buddhism. A key part of the myth is that the savior of humanity will come out of Shambhala at a time when the world is dominated by war and destruction.
The various speculations concerning the precise location of Shambhala range from areas of Central Asia to China and the North Pole. The importance of this kingdom has less to do with the possibility of locating it precisely than with the spiritual quality that is associated with it. The Tibetan tradition includes Shambhala among the “hidden valleys,” certain places that become accessible at times of urgent need.
The twenty-five teachers who proclaim the Kālachakra teaching also play a role in the Shambhala myth. At the time of the last of these, a golden age will dawn and all negative forces will be overcome. Under the influence of this prophecy, Shambhala has in the course of time become associated with the epic of Gesar and with the coming of Maitreya.
The third Panchen Lama composed a guide for finding this kingdom that was very popular in Tibet and was based on a work preserved in the Tibetan canon.
I also found this page, which is interesting although I do not know how accurate it is.
If this has already been posted, then let me know so I can remove this post. Thanks!