After the world found out that Hydra were active and SHIELD was disbanded in Captain America: The Winter Soldier, The Avengers reformed in order to find and shut down any Hydra cells that were still operating.
Thor specifically joined them in order to find Loki's Scepter, which fell into Hydra hands at some point between Avengers Assemble and the end of Captain America: The Winter Soldier. Thanks to the fact that Hydra had fully infiltrated SHIELD at that point, it would not have been hard for Baron von Strucker to get his hands on the Scepter even if SHIELD found it first.
From the film itself (important lines bolded for clarity);
Tony Stark: It feels good, yeah? I mean, you’ve been after this thing since SHIELD collapsed. Not that I haven’t enjoyed our little raiding parties, but…
Thor: No, but this… this brings it to a close.
Steve Rogers: As soon as we find out what else this has been used for. I don’t just mean weapons. Since when is Strucker capable of human enhancement?
Tony Stark: Banner and I’ll give it the once before it goes back to Asgard. Is that cool with you?
[Thor nods his head]
Tony Stark: I mean, just a few days until the farewell party. You’re staying right?
Thor: Yes, yes, of course. A victory should be honored with revels.
Tony Stark: Yeah. Who doesn’t love revels. Captain?
Steve Rogers: Hopefully this puts an end to the Chitauri and Hydra, so. Yes, revels.
From this dialogue we can see that this mission (retrieving the scepter) has finished what The Avengers reformed to do, which was find the scepter (something Thor has been after since SHIELD fell) and shut down Hydra cells (something Tony refers to as "raiding parties").