I'm going to ignore the fact that Thanos and Bucky had almost zero interaction during the movie, so for whatever reason (Bucky gets in a good shot at Thanos during the last fight, Thanos is pissed at Steve for punching him in the face and knows Bucky is Steve's weak link, Thanos just senses Bucky has a lot of trauma and would be fun to fuck with, etc.), Thanos decides to leave behind Bucky as an example for why you shouldn't ever fuck with him. These Earth heroes thought they could stop him? Here's why no-one should think that.

So instead of disappearing Bucky at the end of the fight, he instead traps Bucky inside his own head and turns him into a sex-bot who is constantly seeking out/needing to be fucked. (I'm not picky as to whether Thanos keeps Bucky for himself or if he leaves him on earth with Steve and the remaining avengers)

+Bucky is still aware inside his own head and can remember all of his trash past, but he can't stop himself and is horrified because it's like hydra parties all over again
++Bucky is in physical pain when he isn't being used
+++Steve knows about Bucky's trash past and knows Buxky would've rather died than be forced to go through it again, so seeing him like this is terrible