One common question fans were asking during Captain America: Civil War was "where is Thor?" Most assumed that Thor: Ragnarok would be set during the Civil War, but that's not the case apparently. It looks like the God of Thunder was busy looking for Thanos himself, based on the visions he had during Avengers: Age of Ultron.
Screen Rant visited the set of the film, when producer Brad Winderbaum told the representative that the film will be set years after Age of Ultron. After the Avengers defeated Ultron, Thor has been on a quest to find the Infinity Stones and stop them from getting in the wrong hands. It's clear that Ragnarok is going to be an important chapter heading into Avengers: Infinity War, and it does make the film more interesting.
Here is the full quote from Winderbaum:
The journey he's been on at the beginning of this movie, it's not like five minutes after Ultron ends we start this movie: it's a couple years later. And as we know, at the end of Ultron he's started this quest to find the puppet master, and the Infinity Stones, and all that. What he realized really fast– I don't think I'm giving too much away because it's right at the top of the film, but basically that one quest, that universe-ending peril that he was trying to figure out dovetailed or branched off into any number of universe ending-perils that he's been adventuring on for the two years leading up to the beginning of this film.
Considering how Thor has been busy with all of this, it's easy to see why the character didn't appear in Civil War. While the events of Civil War were pretty important, the God of Thunder is trying to keep the universe safe from the power of the Infinity Stones and Thanos. Though the God of Thunder won't be successful - Infinity War and the unnamed Avengers 4 have been announced after all - he will definitely survive and keep fighting.
Thor: Ragnarok is slated for a November 5 release. It will have a massive fight between Thor and Hulk, before they team up to fight Hela, Skurge and Surtur.