One of the few things MCU fans might not know about Thor is that, in the comics at least, he had a secret identity.
Banished from Asgard in much the same way he was in Kenneth Branagh's original Thor flick, the Odinson's consciousness is transported into the body of Donald Blake, a medical student preparing to embark on a trip to Norway, of all places.
Almost by coincidence, Blake stumbles upon Mjolnir (projected as a walking stick) and hits it against a rock, transforming him into the Thor we all know and love. It was a gimmick Marvel followed for a while in the comics (a whole #159 issues in fact), until it was later retconned that Blake had always been Thor and that Odin, being the mischievous All-Father that he is, had made it so that he'd merely forgotten his Asgardian origins.
They opted to avoid this origin onscreen, and while the Thor films haven't always stood out as being the best in the MCU, you can't knock them for ignoring this particular part of the character's story.