Warning: This Article Contains Mild Spoilers!
Thor: Ragnarok is the third chapter in Thor's solo storyline, but it's the first time we've seen the Son of Odin since he helped save Earth (again) in Avengers 2. Director Taika Waititi wastes no time plugging up the holes and tying off the loose ends, left dangling by Thor: The Dark World and Avengers: Age of Ultron, starting with what Thor has been doing in the two years since we've seen him.
In the opening sequence of Thor: Ragnarok (see the video above) we find Thor chained up as the prisoner of Surtur, in the fire demon's home realm of Muspelheim. During that ominous introduction, Thor (Chris Hemsworth) recounts what for the audience in meta fashion, just what he's been up to.
In a hilariously half-assed exposition dump, Thor informs the audience that after he was last on earth beating down robots, he's been searching the cosmos for Infinity Stones, but "didn't find any." Instead, he discovered and undeniable swath of death, destruction, and chaos washing over the cosmos, including the threat of Ragnarok looming over Asgard. It's that prophecy that brings Thor to Surtur's doorstep, on a mission to defeat the fire demon and prevent Ragnarok by claiming his crown and keeping it away from The Eternal Flame, which would power Surtur up to world-destroyer levels.
This explanation of Thor's backstory between films fits perfectly with the character's story arc at the end of Age of Ultron. Thanks to the vision Thor saw in a mystic cave during Avengers 2, he knows that in addition to Ragnarok, there's a cosmic scheme unfolding, in which some unseen threat is gathering the Infinity Stones together to create the ultimate weapon: The Infinity Gauntlet. Despite his two-year search, Thor doesn't yet know that it's Thanos pulling the strings - but he's about to find that out all too well, when Avengers: Infinity War hits theaters.
Thor: Ragnarok is in theaters. Other upcoming MCU movies include Black Panther on February 16, 2018, 2017, Avengers: Infinity War on May 4, 2018, Ant-Man and the Wasp on July 6, 2018, Captain Marvel on March 8, 2019, the fourth Avengers movie on May 3, 2019, the sequel to Spider-Man: Homecoming on July 5, 2019, and Guardians of the Galaxy Vol. 3 in 2020.