The Infinity Wells origins remain unrevealed. The well its self seems to possesses some degree of sentience. It can tell and show anything the user desires. Within the well lies all answers to any and every question and limitless knowledge.
Thanos used the infinity well to learn of what was then called the soul gems. He used this knowledge to track down the elders of the universe and acquire their gems, which he renamed infinity gems, and created the Infinity Gauntlet.
He and the Infinity Watch would later sneak in to Deaths realm to use the well in order to gain much needed insight towards the Magus and his schemes during the Infinity War story Arc. Though the well was not able to finish before Magus interfered revealing their presence to Death forcing them to flee her wrath. The well then proceeded to inform Death of the Magus' plans.
During the Infinity Crusade Death used the well to learn the extent of the Goddesses plans. Which to her delight, evidenced by the bone chilling cackle that resounded throughout her realm, included the Death of most living beings in the universe.