In ancient times, in all cultures, the mind was supposed to be located in the heart. And look at your own feeling of life itself. The world seems exterios. Then closer to you, seems the body. Closer to you seems the closest to you. See your own thoughts, feelings, ideas, and you seem to be in there somewhere. That's the cave in which you dwell. Never, ever try to see yourself as pure existence. You can't. Whatever you experience is an object. Noticed that much. It's enough. When you realize you are none of the objec you will automatically realize you are. You're the atman.
Swami Sarvapriyananda teaches the Katha Upanishad, one of India's most revered texts which is also a part of the Vedas. It is a collection of philosophical poems representing a conversation between the sage Naciketas and Yama (god of death). They discuss the nature of Atman, Brahman and Moksha(liberation).