When you add PDFs to Mendeley, it will create a link to where the PDF is stored on your computer. If you later move or delete the PDF, the link will break. It is important to move your PDFs to where you plan to store them before adding them to Mendeley.
Or, take advantage of Mendeley's File Organizer (in Mendeley Desktop: Tools - Options (PC); Preferences (Mac), which moves files from wherever they are imported to a designated Mendeley directory on your hard drive. You can choose to have the files automatically placed in subfolders (based on such characteristics as author name) and to automatically rename PDFs with a standard name structure. If you do not already have a good file organization system on your computer, this may be helpful!
