He'd probably be really confused at first. I mean, he's used to the world of magic and suddenly he's faced with these superheroes from a completely different realm. He might try to use his magic to escape, but if he realizes they're not necessarily bad guys, he could start to negotiate with them.
At first, Harry would be in shock. But then his Gryffindor courage would kick in. He would demand to know why they've taken him. If the Avengers explain their reasons, he would use his quick thinking and knowledge of magic to show them how wrong they are if they are. Or, if he sees that they have good intentions but are misinformed, he would try to educate them about the wizarding world and his role in it, all while looking for a chance to get back to Hogwarts or at least to his friends in the wizarding world.
Some of the Avengers would be very protective. Captain America would see Harry as a kid in need of guidance and safety, just like he does with his teammates. Tony Stark might be initially skeptical but would soon see the potential in Harry's magic. Thor would probably be fascinated by Harry's magical powers and see him as a worthy addition to their group.
Well, initially, the Avengers would be quite surprised. They are used to dealing with technology, super - strength, and other more 'normal' superpowers. But once they saw what Harry could do, like conjuring things out of thin air or using defensive spells, they would start to see the potential. Hawkeye might be a bit skeptical at first, but as Harry proves himself in battles, he would gain Hawkeye's respect. Black Widow would be quick to figure out how to incorporate Harry into their strategies, and the rest of the Avengers would follow suit.
He would probably try to reason with the dwarves. Legolas is not one to jump into a fight immediately. He might try to explain that there is no need for such hostility and that elves and dwarves can resolve their differences in a more civilized way. If reasoning fails, he would then start to look for ways to break free from his bonds and overpower his captors using his elvish agility and archery skills.
The OC might be terrified at first. After all, being kidnapped by Loki is no joke. But they could also quickly gather their courage. Maybe they would try to talk to Loki, to understand his motives. If the OC is smart, they would know that Loki has his own reasons for doing things and might be able to find a way to reason with him.
The Avengers would be in a state of panic and fury. Captain America would likely lead the charge to find Tony. He'd use his military strategy skills to plan a rescue mission. Thor might use his godly powers to track down any signs of Tony's whereabouts. Black Widow and Hawkeye would be on the lookout for any Hydra agents or informants. Hulk could be a wildcard. He might be uncontrollably angry and ready to smash anything in his path to get to Tony.
At the beginning, Harry would be frightened. He's in an unknown place with Loki, who is known for his trickery. But Harry is no pushover. He would quickly gather his courage. He would remember all the times he's faced danger at Hogwarts. He might try to communicate with Loki to understand his motives. If Loki reveals that he wants to use Harry's magic for something, Harry would try to find a way to outsmart Loki. He could pretend to cooperate while actually looking for a weakness in Loki's plan. Harry would also be thinking about his friends at Hogwarts and how he needs to get back to them, which would give him extra motivation to fight back against Loki.
The Avengers would be extremely concerned. Captain America would immediately start strategizing a rescue mission. Thor might be angry and ready to use his strength to find her. Black Widow would use her espionage skills to gather information on the kidnappers. And Iron Man would likely use his technology to track any possible leads, all while being aware that Darcy without her glasses might be in a more difficult situation.
Hermione would be extremely worried and would start researching like crazy to find out where Dumbledore has taken Harry. She would probably suspect that something is not right with Dumbledore and would try to convince Ron to help her. Ron, on the other hand, would be initially shocked but then would be ready to go on a rescue mission with Hermione.
At first, Harry would be in shock. He would be full of disbelief that Dumbledore, of all people, would do such a thing. He would struggle both physically and emotionally. Physically, he would try to break free from whatever bindings or magical restraints Dumbledore has put on him. Emotionally, he would be a mess, feeling hurt, scared, and confused. However, depending on how the story unfolds, he could gradually come to terms with the situation if Dumbledore manages to convince him that it's all for a greater good.
Some of them would be amused. Hawkeye might chuckle at the outlandish scenarios in the fanfic. Black Widow would be more reserved but still interested. She'd be quietly observing and thinking about the implications of the story. Captain America would try to find the moral of the story, if there is one, as he always does.