Long hidden in a church in Tonsberg, Norway, the Tesseract was taken by Red Skull and Hydra in 1942. It went under water with Captain America after the defeat of Red Skull. The Tesseract was later recovered by S.H.I.E.L.D but was taken by Loki in The Avengers. After the demi-god got crashed by the Hulk (that scene is too funny LOL), he and the Tesseract were in the custody of Thor, who transported them back to Asgard.
Alias: Space Stone
Function: Power weapons, Open rifts through space
First Appearance: Thor (end credits scene: Nick Fury and Dr. Selvig observes the cube)
Last Appearance: The Avengers (delivered to Asgard by Thor)
While investigating a random portal which appeared due to the alignment of the Nine Realms, Dr. Jane Foster was teleported to another world and was infected by the Aether. The Dark Elf leader Malekith, nemesis of the Asgardians, drew the Aether out of Jane and wanted to use it to restore the Dark Elves to dominance. And of course, Jane’s beau, Thor, came to the rescue, kicked Malekith’s ass and saved the world.
Alias: Reality Stone
Function: Gives the user immense power and control over darkness
First Appearance: Thor: The Dark World (Dark Elf leader Malekith extracted it from Jane)
Last Appearance: Thor: The Dark World (end credits scene: stored in vault of The Collector)
Stored in a secret tomb on the planet of Morag, the Orb, which holds the Power Stone, was accidentally discovered by Peter Quill, a member of the Ravagers. Peter tried to sell the orb when he went back to Xandar but was at the same time chased by Gamora, the adopted daughter of badass Thanos, Rocket Roccoon and Groot. After being captured and thrown into prison, the four joined up with criminal Drax and escaped with the Orb, which later fell into the hands of Ronan, but of course, the Guardians of the Galaxy beat the bad guys and retrieve the Power Stone.
Alias: Power Stone
Primary Function: Energy projection, Enhanced durability and strength
First Appearance: Guardians of the Galaxy (discovered by Star-Lord on the planet Morag)
Last Appearance: Guardians of the Galaxy (in a Nova Corps vault on Xander)
Originally housed in Loki’s Chitauri Sceptre, the Mind Stone was used by Hydra to give powers to Scarlett Witch and Quicksilver. After The Avengers retrieved the sceptre, Stark and Banner experimented on it to create artificial intelligence and ended up with Ultron, who decided to kill The Avengers and go his own way to keep the world safe. Ultron took the Mind Stone and stole a load of Vibranium, hoping to create the perfect body for himself; however, The Avengers stole the body with the gem embedded and gave life to Vision instead.
Alias: Mind Stone
Primary Functions: Mind Control, Human Enhancement
First Appearance: The Avengers (Given to Loki by Thanos in the form of a sceptre)
Last Appearance: Captain America: The Civil War (on Vision’s forehead)
As for the Soul Stone and Time Stone, they have not made an appearance yet in any of the Marvel movies but speculations are that the Soul Stones has the power of manipulating both living and dead souls and can steal abilities of gifted individuals, while the Time Stone enables time travel and gives control over time and age.