In his quest of balancing the universe by eradicating half of all life, Thanos had armies of Chitauri, Sakaarans, Outriders at his command, but he endeavored to build his strength, so he began a plan of adopting orphans from civilizations that he subjugated before killing half of their races. His eldest children were Ebony Maw, Cull Obsidian, Corvus Glaive, Proxima Midnight, the Zehoberei Gamora and the Luphomoid Nebula. After bringing them into his quest, he trained them in the ways of combat, making deadly warriors out of all of them.
Four of them became unfailingly loyal and devoted to Thanos, using their skills to aid his crusade for the Infinity Stones. All of them had particular sets of abilities that made them formidable and dangerous in their own way. But Gamora and Nebula would eventually resent Thanos; the former having reservations of his goal and the latter of the mistreatment and abuse that was inflicted on her.
In 2014, he Black Order aided in Thanos' conquest of Korbin and helped in the massacre of its population. After Gamora and Nebula returned, Thanos dispatched them to the Dark Aster to ensure Ronan obtains the Power Stone and that it is brought to Thanos. This caused a setback as Gamora joined the Guardians of the Galaxy and Nebula went rogue.
The Black Order went with Thanos in his quest for the Tesseract, the vessel of the Space Stone, which came into Loki's hands after Asgard's fiery demise. They attacked the fleeing Asgardians with the Sanctuary II, defeating Thor and Heimdall, slaughtering half of the population.
Following this, Ebony Maw gave a traditional speech of the Asgardian casualties left in their wake helps restore balance to the universe.
Trivia
Each member's name references the color black.
The telekinetic Supergiant was left out of the MCU adaption.