Red Skull appeared for the first time in the MCU in Captain America: The First Avenger. However, it also seemed to be his only outing in the shared universe, since he was (presumed) killed by the time the movie ended.
However, with Thanos revealed at the end of The Avengers, the fans began speculating that Red Skull isn't dead. In fact, he was just transported by the Tesseract (the Space Stone) to an unknown location. And, every time there was buzz about villains returning in the MCU, this one was among the most mentioned.
And Infinity War did reveal that Red Skull was alive! The Tesseract transported him to Vormir, where he began his waiting as the keeper of the Soul Stone. It isn't revealed how and why he became the keeper. However, the Infinity War writers implied that it had something to do with his him being the first one to obsess over an Infinity Stone.
As Red Skull himself implies, the Soul Stone has a will of its own (the stone demands a sacrifice, the stone has its wisdom). So maybe we'll find out more about the how and why of his travelling.
But now that someone did get the Soul Stone, what happens to Red Skull? With the curse broken, what will he do next?
An answer to this question hasn't been yet given. However, the Russos do say that the Red Skull is free to do whatever he wants. Including in here starting a new quest for an Infinity Stone:
— The Avengers (@Avengers) August 4, 2018
And this is an important detail – just an Infinity Stone. The fact that a loved one needs to be sacrificed to get the Soul Stone basically prevents all villains from assembling all the Stones. And this, in turn, makes Thanos and even better antagonist for the Avengers and the Guardians of the Galaxy!