Discovering patterns that strongly distinguish one class label from another is a challenging data-mining task. The unsupervised discovery of such patterns would enable the construction of intelligible classifiers and to elicit interesting hypotheses from the data. Subgroup Discovery (SD) is one framework that formally defines this pattern mining task. However, SD still faces two major issues: (i) how to define appropriate quality measures to characterize the uniqueness of a pattern; (ii) how to select an accurate heuristic search technique when exhaustive enumeration of the pattern space is unfeasible. The first issue has been tackled by the Exceptional Model Mining (EMM) framework. This general framework aims to find patterns that cover tuples that locally induce a model that substantially differs from the model of the whole dataset. The second issue has been studied in SD and EMM mainly with the use of beam-search strategies and genetic algorithms for discovering a pattern set that is non-redundant, diverse and of high quality. In this article, we argue that the greedy nature of most of these approaches produce pattern sets that lack of diversity. Consequently, we propose to formally define pattern mining as a single-player game, as in a puzzle, and to solve it with a Monte Carlo Tree Search (MCTS), a recent technique mainly used for artificial intelligence and planning problems. The exploitation/exploration trade-off and the power of random search of MCTS lead to an \emph{any-time mining} approach which tends towards an exhaustive search if given enough time and memory. Given a reasonable time and memory budget, MCTS quickly drives the search towards a diverse pattern set of high quality. MCTS does not need any knowledge of the pattern quality measure, and we show to what extent it is agnostic to the pattern language. We assess our claims with an exhaustive set of experiments.