“And they were in the way going up to Jerusalem; and Jesus went before them: and they were amazed; and as they followed, they were afraid. And he took again the twelve, and began to tell them what things should happen unto him, Saying, Behold, we go up to Jerusalem; and the Son of man shall be delivered unto the chief priests, and unto the scribes; and they shall condemn him to death, and shall deliver him to the Gentiles: And they shall mock him, and shall scourge him, and shall spit upon him, and shall kill him: and the third day he shall rise again.” – Mark 10:32-34
The disciples are “astonished.” It means they don’t know what is going on or what to think. Because Jesus keeps telling them that the chief priests and the teachers of the law will hand him to the Romans and that He will be killed, but that isn’t in their script for what should happen to the Messiah at all!
Also, when Jesus keeps telling them that He will rise from the dead three days later, that isn’t part of their worldview either, because if Jesus were to be killed, it would mean that He wasn’t the Messiah, and that was it. And everyone knew that people didn’t rise from the dead.
That’s why they’re confused and astonished. As they walk behind Jesus to Jerusalem, they don’t know what they’ll find there. It’s all too much.