We've all seen Captain America gloriously catching Thanos' massive fist in the Avengers: Infinity War trailer (and his even more glorious beard), but it's not entirely clear where he is and/or where he's been leading up to that point. So, precisely where is Captain America prior to Avengers: Infinity War? Well, it's prudent to review his entire MCU history so we can understand just how he got to this point where he seems to be unkempt and on the run.
The Avengers: Infinity War Prequel comic goes a long way in helping us glean more of that complete picture, bridging the gap between Civil War and Infinity War. It's important to address where has Cap has been, and where he is now as Infinity War gets underway, (and hopefully kills less people than the event did in the comics) before we move into Phase 4, about which fans can only theorize for now.
A young man from New York named Steve Rogers desperately wanted to join the Army in 1942, but he was deemed too physically frail. He had heart, though, and Dr. Abraham Erskine (Stanley Tucci) took note of this, deciding to use Steve for his super-soldier experiment. Thus Captain America was born. Unfortunately, Erskine had first attempted this with Hydra leader Johann Schmidt (Hugo Weaving) before he had perfected it, which is how Schmidt was turned into the super-villain, Red Skull. This film, Captain America: The First Avenger, was the first to center around an Infinity Stone (the Tesseract, in this case), and it ended with Red Skull perhaps being disintegrated by the Tesseract. Of course, it's also possible he was transported across space by it and will return at some point.
When Captain America was first sent overseas to serve the Red, White, and Blue, he was paraded around as a mascot. However, while performing for the troops on the front lines, his friend Bucky Barnes (Sebastian Stan) was captured by Hydra, and Steve defied orders to go on a rescue mission. He succeeded, simultaneously proving his worth as a soldier, and becoming the leader of the Howling Commandos, a group of elite soldiers which included Bucky Barnes. On a later mission, which pitted the Howling Commandos against Hydra troops, Bucky was seemingly killed when he fell from a train. Cap eventually triumphed over Red Skull, but in doing so, had to crash a plane into the ocean where he was frozen in ice. S.H.I.E.L.D. collected him and kept him on ice until 2011.
The Avengers were first assembled in 2012, but they certainly weren't built on trust. Right from the get-go it was clear that Cap didn't have blind faith in Fury (Samuel L. Jackson) or S.H.I.E.L.D. as a whole. His fears were compounded when he found weapons engineered by S.H.I.E.L.D. using the Tesseract. What's more, even the functionality of the Avengers themselves as a team was strained from the beginning, mostly because of the icy relationship between the selfish Tony Stark (Robert Downey Jr.) and Cap. This iciness would define the Avengers going forward.
While Bucky Barnes was believed to be killed during World War II, it turns out he was collected by Hydra, subjected to experimentation, and ultimately turned into the assassin known as the Winter Soldier. Cap was forced to go toe-to-toe with the assassin, and was rocked upon discovering his identity. To complicate matters, Hydra was effectively running S.H.I.E.L.D. at the highest levels, and had directed Bucky to kill Cap. In the end, S.H.I.E.L.D. crumbled, but Bucky started to remember who he was and went on the lam.