I have added my custom domain, the status is ready and I have assigned it to my funnel, but when I try to access the URL (e.g. www.mydomain.com) it's redirecting to a 404 page.
It's redirecting to a 404 page because that particular URL is not assigned to anything yet. You probably have several pages in your funnel and they're working just fine (e.g. www.mydomain.com/lead-capture-page and www.mydomain.com/thank-you). You have to choose which of the pages you have will have this URL www.mydomain.com. You will have to set one of the pages as a homepage.
1. Click on the page to edit
2. Click on the title of the page
3. Tick on Set as Homepage
4. Remove the text on the field
5. Publish the Page