Loki, the adopted son of Odin, had obtained the Tesseract, something he was unaware contained the Space Stone (that being why Thanos was after it and why he gave Loki a Scepter containing the Mind Stone once Loki promised to return it once he used it to help obtain the Tesseract). Although he didn't realize it, the fact that he had two Infinity Stones made him the most powerful being in the universe since no one else had multiple Infinity Stones. However, Loki was an idiot who had no real idea what he was doing, so while he was goofing off with the Tesseract, it teleported him to a different reality before teleporting itself to a different reality, stranding him there.
Looking around, Loki said, "Kneel before me…" but saw that he was in the middle of a road with lots of weird creatures on it. One of them was small, red, and furry. He said, "Welcome to Sesame Street! Elmo's so happy to see someone new!"
Loki asked, "Who is this Elmo?"
He pointed to himself and said, "Elmo's Elmo."
It took him longer than it should have to realize that Elmo was the one he was talking to and didn't know pronouns yet. A rather large, yellow bird accidentally sneaked up on Loki and said, "Someone new! My name's Big Bird. What's yours?"
After the surprise of being sneaked up on wore off, he said, "I am Loki, son of Odin."
Looking to this Big Bird, Elmo said, "Elmo thinks Loki picked the perfect time to visit!"
A female, orange monster walked into Loki's view and said, "Hey, Elmo! Rocco came too! Say hello, Rocco."
She leaned her head towards the inanimate rock she was carrying and said, "Yeah, Rocco says hello."
Elmo turned to her and said, "Rocco's just a rock, Zoe! Rocco can't greet Loki! And Elmo didn't hear anything out of Rocco!"
Loki was about to use his Scepter but took until then to realize that he didn't have it. A larger and blue but still furry monster appeared and said, "Does visitor have cookies for Cookie Monster?"
Loki said, "I don't even have my Scepter. How can I conquer this street?"
Out of frustration, Elmo went over to Zoe, yanked Rocco out of her hand, and tried to throw him at Loki, but the adopted Norse god dodged Rocco, which fell to the ground. Zoe went over and picked the rock back up. Elmo said, "Elmo remembers the time Elmo called Mr. Robin Williams 'Mr. Robins' and caused Mr. Williams to take back a stick Robin gave Elmo."
"What does that have to do with anything?" Loki asked.
Although he was stranded in a different reality, the inhabitants of Sesame Street grew on Loki due to how chaotic they were.