Mysterio is currently under contract with Lucha Underground, but his deal ends when the third season of the show is over on the El Rey Network, which is set to air in September. After his 90-day non-compete clause expires, then he would be free to sign with any company that he chooses.
There is a strong incentive for both companies to make Mysterio an offer he cannot refuse. There is always a possibility that Lucha Underground will swoop in with an offer to retain Mysterio. Keep in mind that El Rey has yet to announce the fourth season of the show.