So far, and until the end of Phase III, the MacGuffin of the MCU has been the Infinity Gauntlet with its gems. Thus, until now, only 4 of these stones have been revealed.
One was in the first Captain America movie and was discovered to be an Infinity Gem in the first Avengers movie (the Tesseract, currently in Asgard), the second one was revealed in Thor: The Dark World (the Aether, currently with the Collector), the third one was revealed in Guardians of the Galaxy (the Orb, currently on Xandar), while the fourth one with Loki from the start (Scepter, currently on Vision's forehead).
Where could the last MCU Infinity stones be?
An interesting theory

First of all, there is this interesting theory about the Infinity Stones in the MCU. And, according to this theory, when combining the beginning letters of each stone, you can spell Thanos (Tesseract, Aether, Orb, and Spectre).
Of course, one can say that, for example, some of these names are not the ones of the stones themselves, but of the containers "“ for that matter, only the Aether can be the name of the Infinity Stone. But, then again, if this theory proves to be true, than it will make Thanos the only one who could actually handle all the power of the stones united, as if destined to wear them.
And this, in turn, means that the Infinity Gauntlet will forever be useless when Thanos is eventually defeated. Which gives way for other MacGuffins to appear in the MCU, thus giving birth to other overarching stories in the future phases.
So where is the soul gem in the MCU? Check out the next page!

