Here are all of the movies that make up Phase One of the Marvel Cinematic Universe:

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Phase One | Marvel Cinematic Universe Wiki | FANDOM powered by Wikia — The first set of movies introduces the main universe in which the films are set, as well as core characters such as Iron Man, Thor, Captain America, Hulk, Black Widow, Hawkeye and Nick Fury, and organizations such as S.H.I.E.L.D. and HYDRA. Many of the films in Phase One focus on the Tesseract, an alien artifact that is later established as one of the six Infinity Stones. The final film, The Avengers, involves the villains Loki and Thanos allying to steal the Tesseract and conquer Earth, leading to the formation of the Avengers.

The Road to Infinity Wars! Phase One, Episode One