Did Thanos have anything to do with the events of Age of Ultron?

This has indeed been asked at the SciFi SE, and there are some good answers there, but for my own part I can say: we don't know as yet.

We can assume (from Marvel Comic Book lore) that Thanos is attempting to gather all the Infinity Stones for himself and has been frustrated by the events of the films in the Marvel Cinematic Universe so far. It's a reasonable assumption to think that he's talking about the events of Age of Ultron in that mid-credits scene, but an alternative reading is that he's thinking about the films in general, and the events of Guardians of the Galaxy in particular, where his plans to use others to retrieve one of the Stones failed.

I think the real answer to your question won't be revealed until later, possibly not until Avengers: Infinity War in 2018.

Apart from inadvertently delivering the mind stone to the Avengers, no.

In the mid-credits scene to Age of Ultron, Thanos says "Fine. I'll do it myself." Thanos' goal is to obtain all the stones, which he tasked Loki and Ronan with. Both failed, and Loki lost him the mind stone (which was in the scepter) in the process.

Thanos did not intend for Loki to fail and leave the mind stone in the Avengers' hands, ergo, he did not mastermind the events of Age of Ultron.

Obviously, it is impossible to answer this question with absolute surety, so I will simply supply the most likely and logical answer.

In the original comics, as far as I am aware, Thanos was the wielder of the golden glove known as the "Infinity Gauntlet" (As seen in the end credits). This weapon was of paltry power excepting when it harnessed the nearly unlimited energy of the Infinity stones.

Several infinity stones have already been shown in the Marvel Cinematic Universe, including but possibly not limited to the Aether (Thor 2), the Tesseract (The Avengers), the power stone (Guardians of the Galaxy), and of course the mind stone that was previously contained within Loki's scepter. Recall that this particular stone held the consciousness that was "copied and pasted" into Ultron. In this way it seems reasonable that Thanos was the mastermind of the events transpiring in the second "Avengers" movie. In fact, it seems suspicious how easily the Avengers were able to capture and harness the powers of the mind stone. Perhaps H.Y.D.R.A. is really an extension of Thanos's will?

I cannot guarantee the veritability of this reasoning, and on second thought I realize it is not precisely of the type of answer Stack Exchange prefers, however I will post it in the hopes that it may clear up any questions you have.

Copying my answer from the same question over on SFF.

I've always held the theory that no, Thanos did not have any involvement in avengers: Age of Ultron. The best theory I have found to state how Thanos could have had some involvement is this answer by Spencer stating that Thanos somehow activated the interface. Probably coupled with Thanos potentially doing something with the Mind Stone. That said I still think Thanos wasn't involved.

However, on reading The Road to Marvel's Avengers: Endgame - The Art of the Marvel Cinematic Universe I noticed this interesting little bit from Jackson Sze on the Space Stone and the intro scene to Avengers: Infinity War:

Thanos, the puppeteer behind Loki's attack on New York, has been chasing the Infinity Stone for some time. In the opening sequence of Avengers: Infinity War, he finally gets hold of it. "I feel like this scene epitomizes what he said at the end of Avengers: Age of Ultron," Senior Concept Illustrator Jackson Sze says. "When he says, 'I'm going to do it myself.' I think this is like a culmination of that scene where he's actually going for it, as opposed to relying on proxies like Ultron and Loki."

_{The Road to Marvel's Avengers: Endgame - The Art of the Marvel Cinematic Universe}

This implies to me that Thanos did have some sort of hand in the events that transpired in Avengers: Age of Ultron. However, beyond this statement there isn't much to back up this theory.

Looking at how Thanos probably wasn't involved in the film's events we have quite a bit of evidence:

• It's not mentioned by anyone in universe with the sole link being the post credits scene.
• The post credits scene likely takes place on Nidavellir when Thanos has been having the Gauntlet made for him so he was likely too pre-occupied with that.
• It also probably takes place a lot closer to Avengers: Infinity War than we are led to believe but no timeline is given for it.
• Ultron never once mentioned or looked for the Tesseract (of course it was on Asgard), and that was Thanos' plan with Loki, the Mind Stone and the Chitauri.
• Thanos is probably referring to the Loki, Ronan and Gamora schemes failing rather than anything else.
• Out of universe it is of course a set up/marketing for Avengers: Infinity War so doesn't have to refer back to Avengers: Age of Ultron at all.
• And most importantly: how could he have had an effect on the events of the film really? Whilst I like the aforementioned theory it is very thin with evidence so I doubt it to be true. The same goes for the other theories as well.