Thor’s side-story was one of the more puzzling aspects of the film, seeing him travel across the world to bathe in a magical pool. The deleted scene expands on this, with Thor being possessed by an Asgardian being called a Norn, who goes on to some of the backstory for the “Mind Stone” in Loki’s scepter.
The scene was filmed to provide a clearer link between the main Age of Ultron storyline and the ongoing importance of Infinity Gems throughout the Marvel Cinematic Universe—previously seen in several films including Guardians of the Galaxy and The Avengers. Since the Infinity Gems are likely to play a prominent role in the next two Avengers movies, Marvel wanted to make sure audiences got another reminder. Unfortunately, the fantastical tone of this scene really didn’t fit with the rest of the movie.
Given the number of other subplots in Age of Ultron, it’s easy to see why this scene was deleted. However, it would have given audiences a far clearer explanation of Thor’s quest to visit this cave pond, which came across as kind of baffling if you weren’t already aware of Marvel’s obsession with foreshadowing the Infinity Gems.