There are a few references to Loki's true heritage as a Frost Giant. First he tells Thanos that he's not Asgardian, then he calls himself the rightful king of Jotunheim (which is also a reference to him being the son of King Laufey) and when Thanos kills him, his complexion reverts to sickly pale blue, much like it did when he grasped the Casket of Winter.
Thor mentions that Loki's been dead before. One of those occasions was when he fell into a black hole at the end of this movie.
Thor almost losing his life when his current weapon (in this case, the Stormbreaker axe) is summoned to his hand with a burst of lightning is akin to the climax of this movie, when Mjölnir does the same thing.
When justifying his suggestion to destroy the Mind Stone, Vision mentions Cap's Heroic Sacrifice, claiming it's the same idea.
Red Skull mentions he held an Infinity Stone in his hand (which he did in this film) before it cast him out and sent him to Vormir, answering the question of his fate when the Tesseract sent him across the cosmos.
Loki mentions he has experience on Earth, which Thanos counters is actually failure. As Bruce tells Tony, Thanos was Loki's master who sent him to Earth.
Loki prefaces the Hulk's surprise attack on Thanos aboard the Asgardian ship with, "We have a Hulk," which Tony said to him before the climactic Battle of New York.
Heimdall uses dark magic to transport Hulk to Earth without the Bifrost, just as Odin had to do to send Thor to Earth.
Much like the warehouse scene, Banner wakes up sitting in a massive crater after Hulk's jumped out of the sky and into a building. In this case, Doctor Strange's Sanctum Sanctorum.
When Thanos invades and purges Gamora's home world, the Chitauri are seen helping him do it.
At the end of the climax in Avengers, Tony Stark asks "What just happened?" and Steve Rogers answers him "We won." At the end of the climax in Infinity War, James Rhodes asks "What the hell is happening?" with Rogers muttering "Oh god" in shock.
Thor tells the Guardians the Reality Stone is in the possession of the Collector. The Asgardians sold it to him for safekeeping in The Stinger.
Thor mentions that Loki's been dead before. Another such occasion was him Faking the Dead in this movie, seemingly dying in Svartalfeim. Thanos smugly alludes to this as well, saying "No resurrections this time."
When Rocket asks Thor about his mother, he replies she was killed by a dark elf, referencing her death at the hands of Malekith.
The way Thor enters the battle in Wakanda harkens back to the opening of this film wherein the Bifrost beams down on the battlefield and his weapon flies out.
Much like in past outings, something (in this case Thor) crashes onto the windshield of the Guardians' ship.
When Thor hears that Gamora is the daughter of Thanos, he initially wants to kill her as Revenge by Proxy for his brother's death before it's explained to him that she hates him as much as he does, which also happened with Drax. Drax also mentions Thanos invading his planet and killing (through Ronan) his wife and daughter.
When Thor mentions Knowhere and Mantis is confused, Quill mentions they've been there before.
When Quill and Stark are thinking of a plan to fight Thanos, Drax suggests that Quill tell them about that time they used a dance-off to save the Universe. Parker and Stark are both confused by this, leading to another call-back.
Peter Parker: Like in Footloose, the movie? Peter Quill: Exactly like Footloose. Is it still the greatest movie in history? Peter Parker: It never was... Tony Stark:[to Parker] Don't encourage him...
When Rocket meets Bucky, the raccoon starts asking how much he wants for his metal arm, as a reference back to Rocket's fondness for obtaining prosthetic body parts For the Lulz.
Rocket gives Thor a cybernetic eye which he acquired via theft, also tying into this. This also isn't the first eye he's stolen, though it's explicitly a different eye than the Ravagers' from Vol. 2.
Bruce is dismayed to hear Tony's lost track of Vision, saying "Tony, you lostanothersuperbot?!" This alludes to Ultron and that Tony built and lost control of him.
When Bruce Banner reveals himself to the Secret Avengers, Falcon notes the awkwardness of the moment when Banner and Natasha greet each other. When last saw each other they were about to start their romantic relationship until Banner/the Hulk flew off to outer space in the Quinjet, abandoning Nat. This comes up earlier in the Sanctum Sanctorum, when Tony remarks to Bruce, "God, we haven't caught up in a spell, have we?" This movie is set roughly three years after the Sokovia incident.
Since the Hulk won't come out, Bruce pilots a new model of the Hulkbuster armor. Since he helped design the original, he's actually the next most qualified to use it after Tony.
Tony mentions that the Avengers broke up and he and Steve fell out hard, referencing the infamous Downer Ending. However, he also has the flip-phone Steve sent him to call for help if he ever needed him in his pocket.
With the Sokovia Accords still in place, Cap and his team are fugitives, and Steve doesn't have his shield, having abandoned it.
Rhodey is wearing a walking harness and mentions that signing the Accords cost him. During the Airport Battle, an accidental case of friendly fire led to him being crippled.
Black Widow explains Hawkeye and Ant-Man's absence as them taking plea deals to spend time with their families.
Wakanda fighting off Thanos's invasion was foreshadowed in The Stinger, where T'Challa confidently implied that his people would be ready to fight any outsiders who might try to breach their borders.
When the Avengers arrive in Wakanda, Ayo can be seen either smirking or glaring at Natasha, likely remembering their brief stand-off.
During the Battle on Titan, Thanos grabs one of Spider-Man's webs with one arm, yanks him close and smacks him to the ground with the opposite arm. Cap used a similar move with his shield on Spidey during their brawl.
Bucky is still using the heavily modified assault rifle he took from Natasha's gear in this film.
Trying to one-up Thor's tragic backstory, Quill sums up the plot of this movie, specifically how he lost his adoptive father Yondu after being forced to kill his real father, Ego the Living Planet.
Thanos having to sacrifice the one he loves for his greater purpose brings to mind what Ego did to Peter's mother. Peter even reacts in the same way to finding out about Gamora's death.
In that movie Nebula makes an entrance crashing a ship trying to kill Gamora. This time Nebula makes an entrance crashing a ship to confront Thanos. This is also a reference to members of the Guardians of ramming a spacecraft into a powerful villain (Rocket rams a Ravager craft into Ronan in the first Guardians film, and Yondu rams his spacecraft into Ego in Vol. 2).
Tony and Pepper are engaged. The end of this movie is where it is started.
Ned Leeds makes a small cameo.
The Iron-Spider suit first seen in Homecoming becomes Peter's new attire after his existing suit proves unable to help him breathe in low atmosphere conditions.
Peter talks about looking out for his neighborhood, and how he can't do it if there's no neighborhood. At the end of Homecoming, he declined membership of the Avengers to continue being a Friendly Neighborhood Spider-Man.
Tony again uses "The adult is talking" when Peter interjects in a serious conversation.
T'Challa refers to Bucky as "White Wolf", the name the Wakandans called Bucky in The Stinger.
Banner and Rhodey ponder having to bow to T'Challa. Much like when Shuri bowed to him back then, T'Challa is dismayed and tells them to stop.
The Border Tribe, who sided with Killmonger during his attempted takeover of Wakanda, are part of the army at the end. Mention is made of "those who are left", implying that they were punished, possibly brutally, for helping Killmonger.
Shuri only has one shock blaster when facing Glaive, which isn't surprising since the other one was destroyed by Killmonger.