Last seen: Captain America: Civil War
After breaking his friends out of The Raft prison, and refusing to sign the Sokovia Accords, Cap is a fugitive. As indicated in Spider-Man: Homecoming (which technically is his last appearance in the films), he’s been on the run and hasn’t been seen.
While he may have sent Tony Stark a burner phone to reach him if he needs help, he’s no longer Captain America, has no shield and considers himself a Nomad. He’s also been working with Falcon and Black Widow as a free agents using Chitauri tech to take out terrorists and other threats.