Marvel released documentary footage which they played at Comic-Con this year, explaining exactly where Thor was during the events of Captain America: Civil War.
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The mockumentary video was shown exclusively during their Hall H presentation, as a teaser for Thor: Ragnarok, but has now been put online for everyone to see.
As Thor tells it, after saving the Earth from Ultron, he needed a bit of rest and relaxation.
Basically, Thor just wanted to spend some time with regular everyday people.
He's also been doing some of his own investigations into upcoming bad dudes.
