Though it isn't properly introduced as the Mind Stone until 2015's Avengers: Age of Ultron, the stone was located in the heart of Loki's sceptre, gifted to him by Thanos as a weapon to help conquer Earth and obtain the Tesseract/Space Stone in the aftermath. At the end of the film, while the Space Stone goes to Asgard with Thor and Loki, Loki's sceptre is kept in the possession of S.H.I.E.L.D.
In the aftermath of 2014's Captain America: The Winter Soldier, it is revealed that HYDRA (the Nazi division led by Red Skull) was secretly infiltrating S.H.I.E.L.D. for the past 70+ years, and all of S.H.I.E.L.D. and HYDRA intelligence was publicly released. In the time following these events, HYDRA gains possession of the sceptre and uses it power to create two superpowered heroes - Wanda and Pietro Maximoff (Scarlet Witch and Quicksilver).
At the beginning of 2015's Avengers: Age of Ultron, the Avengers intercept the sceptre at a HYDRA compound in Sokovia. However, it is eventually taken by Ultron, who was created by Tony Stark in an attempt to create a 'suit of armor around the world', using the intelligence found in the Mind Stone to create Ultron's artificial intelligence. Ultron beings to create Vision's body as the ultimate upgrade for his consciousness, using the Mind Stone to augment his intelligence. Implementing the artificial intelligence of Tony Stark's JARVIS, the Avengers intervene and create Vision themselves.
In the events of Civil War, Vision is beginning to come smarter and is able to communivate with the Mind Stone. However, as it warns him of the threat coming in 2018's Avengers: Infinity War, Vision is incapable of understanding its message to its full extent.
In the events of Infinity War, Vision is able to use the Mind Stone to his advantage and disguise himself as human; however, when Thanos' servants are sent to Earth to retrieve the Mind Stone, Vision is severely wounded and is unable to use his ability to phase through objects.
By the end of the film, the final fight against Thanos takes place in Wakanda, the home of Black Panther, where Vision is being modified in hopes of being able to survive without the Mind Stone if Thanos were to retrieve it. However, the operation is not fully completed, and Vision remains weak and nearly dies. He has Wanda (Scarlet Witch) destroy the Mind Stone, as she is the only person that can match its power. Thanos uses the Time Stone to reverse the destruction of the Mind Stone, and he reigns superior, retrieving the Mind Stone and killing Vision in the process.
With the Mind Stone, Thanos completes his quest of obtaining the Infinity Stones, and fulfills his destiny of snapping his fingers and wiping out half of all life in the Universe. This leads to the death of many beloved heroes and heroines, and sets up the events of 2019's Avengers: Endgame.
