Yes and no - Captain America 1 takes place in the 1940s while the rest of Phase 1 is all 2010ish, but Cap 1 introduces the Tesseract which sets up Avengers 1 (it’s the MacGuffin of both films), and Captain Marvel will be set in the 1990s while the rest of Phase 3 is all 2016-18ish.

Think of it more like seasons of a TV show. Each phase of films is loosely planned out before they start working on them as opposed to just going a movie at a time and hoping everything fits together in the end.