Coming into Avengers: Infinity War, one of the biggest mysteries was the location of the Soul Stone, which was the only Infinity Stone that had not been revealed yet in the MCU, and after it was revealed, that lead to a number of theories about Thanos (Josh Brolin).
There has been wide speculation that the place Thanos actually goes to is inside the Soul Stone itself, since, in the comics, the Soul Stone does house its own dimension, but that theory was definitively shot down by Joe Russo, who simply said, “No, no,” when asked if Thanos had gone into the Soul Stone itself.
Towards the end of Avengers: Infinity War, Thanos finally does obtain all six Infinity Stones, and with the snap of his fingers, eliminates half of the Earth’s population, including several Marvel heroes, and then disappears.
Interestingly enough, the Russo brothers had early confirmed that Gamora was alive inside the Soul Stone and hinted that is where Thanos went at the end of the movie.