Avengers: Infinity War (2018)
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As Wong says, "The Big Bang sent six elemental crystals hurtling across the virgin universe. These Infinity Stones each control an essential aspect of existence: Space. Reality. Power. Soul. Mind. And Time."
In order of first appearance in the MCU: The Space Stone (blue) - housed in the Tesseract, which appeared post-credits in Thor (2011). In Captain America: The First Avenger (2011), the Red Skull steals the Tesseract and uses it to power weaponry. After transporting the Red Skull to Vormir, the Tesseract falls into the Arctic Ocean where it is later recovered by Howard Stark and taken to a secret base. In 1989, Dr. Wendy Lawson tries to use the Tesseract to unlock light-speed travel. In Captain Marvel (2019), it is recovered by Carol Danvers, who hands it over to S.H.I.E.L.D. In The Avengers (2012), it is shown to be capable of generating wormholes; Loki steals the Tesseract from S.H.I.E.L.D. and uses it to transport the Chitauri to New York City. After the battle, the Tesseract it is returned to Asgard and used to repair the Bifrost. Loki steals the Tesseract before Asgard's destruction in Thor: Ragnarok (2017). He gives it to Thanos in Avengers: Infinity War to save Thor's life. Thanos then crushes the Tesseract to acquire the Stone.
Mind Stone (yellow): Housed in a scepter which Thanos and the Other gave to Loki to help him conquer Earth; it allowed him to control people's minds and project energy blasts. After Loki's defeat, the scepter fell into the hands of Wolfgang von Strucker, who in the mid-credits scene of Captain America: The Winter Soldier (2014) is seen using it to experiment on humans; these experiments produced Quicksilver and Scarlet Witch. In Avengers: Age of Ultron (2015), the scepter is revealed to contain the Mind Stone and has an AI that grants sentience to Ultron, who steals the scepter, removes the Stone from it, and uses it to create a newly upgraded body for him. The Avengers steal the body from Ultron and upload J.A.R.V.I.S. into it, giving birth to "Vision".
The Mind Stone can also enhance the user's intelligence, grants the user immense knowledge, and can create new life. In Infinity War, Vision is injured by Thanos' children trying to get the Mind Stone and is taken to Wakanda to have it removed. Scarlet Witch is forced to destroy Vision and the Stone, only for Thanos to use the Time Stone to repair and collect it, killing Vision again.
Reality Stone (red): Transformed into a fluid-like weapon called the Aether, it first appears in Thor: The Dark World (2013), where Malekith attempts to use it to destroy the Nine Realms. Jane Foster becomes infected by the Aether, and it is later drawn out of her by Malekith. After Malekith is defeated by Thor, Sif and Volstagg seal the Aether in a lantern-like container and entrust it to the Collector in order to separate it from the Tesseract. The Aether, when bonded with a host, can turn anything into dark matter, and is capable of sucking the life force out of humans and other mortals. It can also create portals to other worlds, disrupt the laws of physics, and repel threats if it senses any. In Avengers: Infinity War, Thanos acquires the Aether/Reality Stone from the Collector.
Power Stone (purple): Housed in an orb that Ronan seeks to find for Thanos in Guardians of the Galaxy (2014), it can increase the user's strength and destroy entire civilizations with a single blast. After Star-Lord finds and steals it from its resting spot, Ronan takes it back. After betraying Thanos, Ronan tries to use it to destroy the planet Xandar but is stopped and defeated by the Ravagers, Nova Corps, and the Guardians of the Galaxy. Due to his half-Celestial heritage, Star-Lord is able to withstand the Stone's power, particularly when the burden is shared by the other Guardians. Star-Lord kills Ronan with an energy blast from the Stone and then it a new orb and entrusts it to the Nova Corps. Before the events of Infinity War, the Power Stone is the first to be obtained by Thanos, who "decimates" Xandar in the process.
Time Stone (green): Housed in the Eye of Agamotto by Earth's first sorcerer, Agamotto. A Master of the Mystic Arts can use the Stone to alter and manipulate time. In Doctor Strange (2016), the title character finds the Eye and uses it to defeat Dormammu. Strange returns the Eye to the Masters of the Mystic Arts' secret compound Kamar-Taj, but is seen wearing it again in the mid-credits scene. During the events of Avengers: Infinity War, Thanos's lieutenants attempt to steal the Eye from Strange, but are foiled by Tony Stark and Peter Parker. While on the planet Titan (Thanos's homeworld), Strange uses the Time Stone to look into future timelines, viewing millions of possible outcomes of their conflict with Thanos and sees only one future where they win. Strange later surrenders the Stone to Thanos to save Tony Stark. During the confrontation in Wakanda, Thanos uses the Time Stone to undo the Mind Stone's destruction.
Soul Stone (orange): The Soul Stone has the ability to manipulate a soul and the essence of a person. It is first seen in Avengers: Infinity War. Some time prior to Guardians of the Galaxy, Thanos tasked Gamora to find the Soul Stone as there is little record of its existence compared to the other Infinity Stones. Gamora found it hidden on the planet Vormir, but decided not to tell Thanos and kept the secret with Nebula (little realizing that Thanos wasn't fooled). After Thanos captures and tortures Nebula, Gamora agrees to take him to Vormir, where they encounter the Red Skull (having been transported to Vormir by the Tesseract), who serves as the Stonekeeper. The Red Skull informs Thanos that he must sacrifice someone he loves to acquire the Stone, with the latter reluctantly sacrificing Gamora as a result, causing the Stone to appear in his hand. Edit (Coming Soon)