It is conventional (by design) that Mathematica returns an expression
unevaluated when Mathematica does not know how to evaluate this
expression. This can happen for user-defined functions as well as
built-in functions (though in special circumstances).

For instance, having started a new Mathematica session, if we try to
evaluate f[2], Mathematica just returns f[2] since it has not  the
slightest idea of what the function f can possibly do.

In[1]:= f[2]

Out[1]= f[2]

Now, we give a definition (a meaning) to the symbol f.

In[2]:= f[x_] = 2 x

Out[2]= 2 x

 From now on, evaluating f will return a value.

In[3]:= f[2]

Out[3]= 4

Of course, *Integrate* is a built-in function that has already a
meaning. Still, if Mathematica does not know how to find a definite or
indefinite integral, it returns the original expression as answer.

For instance, Mathematica knows how to integrate E^(-x^2) (in terms of
error function) and E^(-x^3) (in terms of gamma function) but not
E^(-x^3 - x^2) (the expression is returned unevaluated).

In[1]:= Integrate[Exp[-x^2], x]

Out[1]= 1/2 Sqrt[\[Pi]] Erf[x]

In[2]:= Integrate[Exp[-x^3], x]

Out[2]= -((x Gamma[1/3, x^3])/(3 (x^3)^(1/3)))

In[3]:= Integrate[Exp[-x^3 - x^2], x]

Out[3]= Integrate[E^(-x^2 - x^3), x]