The proverbial holster to the galaxy destroying gun, the Infinity Gauntlet was originally created by Thanos himself. It was little more than just his regular glove with a few slots for the Infinity Stones. Though the MCU is nothing if not a creative forum so there’s a good chance it’ll take inspiration from outside the box.
A popular theory that colours outside of the lines revolves around Eitri the Dwarven King. Attributed to creating artefacts like Mjolnir, Eitri with all his shiny Uru metal could certainly be the one who made the gauntlet, though a little thinking beyond this theory also explains what Thor: Ragnarok showed audiences.
Since the original Thor film and the post-credits scene in Avengers: Age of Ultron, fans have noticed that the former featured what looked like the gauntlet in Odin’s treasure room while the latter showed Thanos donning the glove himself. Yet whilst strolling through her dad’s room of mystical garbage Hela quickly dismissed the Infinity Gauntlet as a fake.
Consider what else Thor: Ragnarok showed us; a mural showing Hela and Odin as ruthless conquerors. During this age of Asgardian history it's likely that people wouldn’t see Odin as a benevolent ruler who should have a tool that could harness the power of the universe. So the theory is that yes, as Hela states, it’s a fake; because Eitri made it to fool the bloodthirsty Odin.
Thus a real one was made in order to stop such a warmongering monster and yet, whoopsie, it ended up with Thanos.