The Infinity Stones are six immensely powerful objects tied to different aspects of the universe, created by cosmic entities.
Aether (Reality) from Thor: The Dark World was one of the Infinity Stones. The Reality gem which is now held by The Collector.
Orb (Power) from Guardians of the Galaxy was the power gem and is held by the Nova Corps.
Visions Headpiece (Mind) from Avengers : Age of Ultron which is in Visions head.
Tesseract (Space) from Captain America: The First Avenger and Avengers is held in the vault in Asgard with the Infinity Gauntlet.
(Soul) and (Time) are yet to be seen in the MCU.
Those are all the Infinity Stones that have been seen in the MCU and who currently has them.