I initially applied online and heard back from an internal recruiter about two weeks later to set up a phone screen. After the initial phone screen with the recruiter, I had a few more phone interviews with various employees (associate --> partner) and then was invited to a half day of interviews with four people from the practice in the NYC office (Sr. Associate --> Sr. Partner). I received an official offer a few days after the in-person interviews.
Overall, the process was very straightforward. One interviewer went really in-depth with one of my previous work experiences, so make sure you're familiar with your resume and can speak to specific examples of how your past work relates to the role you're interviewing for. All the standard questions were there:
Behavioral questions (Tell me about a time when...)
Strengths & weaknesses
Walk me through your resume
Why Mercer?
Additionally, I worked through a (what I'm calling) mini case with one of my interviewers. It wasn't a full case study, but I was presented with some internal labor market data and asked to walk through my thought process about what I was seeing, what it could mean, what other data I would want to see in conjunction with it, etc.