Thor is separated from the universe he knew, forced to come down to Earth and root around in the mud (literally as it turns out) like the rest of us humans. Even worse, he has to grapple with what he's lost and accept that he's responsible for that state of affairs, all with no hope of ever returning home.
Oddly enough, Loki ends up in exile just as Thor returns…only he chooses exile voluntarily since he drops into the Giant Cosmic Drain Pipe rather than let Odin and Thor pull him to safety.
Questions About Exile
Why does Thor take so long to realize that his exile is permanent?
What causes Thor to accept his exile? Why does that allow him to eventually escape it?
How are the other characters placed in exile – both literal and spiritual – throughout the movie?
In what ways is exile a learning tool for the characters, teaching them what they need to know?
Chew on This
Thor's exile is self-imposed in many ways and only when he understands his own limitations that led him here can he grow.
Exile isn't self-imposed, but rather a reflection of the greater community's needs and values. Thor can end it only when he embraces the greater good.