To me, supernatural is anything that is outside of what is physically possible. Even though we all want it to be true, vampires and werewolves cannot exist in our world. Mythological is-to me- a sub-genre of supernatural. The Greek stories are only that, and, sadly, there is nothing we can d o about that.
The term "mythological" suggests that it comes from a myth or legend. Most fantasy creatures have some legendary basis. The only things that I personally consider "supernatural" are things human-related, like humans with psychic powers or humans' ghosts.
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