What are the mechanics behind the mind of a conspiracy theorist?
Interesting question, I am glad that you stated that it is not going to be opinion-based (grounds for closure), as there is some research being done in this field.

A couple papers and details of their research for you:

"Social Psychological Origins of Conspiracy Theories: The Case of the Jewish Conspiracy Theory in Malaysia" (Swami, 2012) states that in some cases, such as the case study presented in the title of this article, it is a 'state-based' conspiracy theory, where:


  in which state-directed conspiracism as a means of dealing with perceived external and internal threats


(emphasis mine).

This could also be extended to why individuals take on the conspiracy theories themselves.

This, in a way relates to the next article:

"The Sarrazin effect: the presence of absurd statements in conspiracy theories makes
canonical information less plausible" (Raab et al. 2013), which is best summed up in one of their concluding paragraphs:


  It is these dynamics of reception, alteration and propagation that account for the many-faceted
  phenomenon we call conspiracy theory. The cognitive effort, i.e., considering information in
  the eventuality space, might be rewarding and satisfying in itself; just like an aesthetic
  experience or a mental exercise (cf. Muth &amp; Carbon, 2013). Unlike a crossword puzzle,
  however, reception and propagation of a conspiracy theory allow for intercommunion. Yet, as
  many participants reported afterwards, constructing a story can ultimately be fun.


Essentially, it is almost like the first example, where the state propagates a conspiracy theory to try to comprehend and cope with perceived threats, the same can apply to the individual.

I hope this helps.