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Release order and chronological story order are different things — here is the release sequence, which is how the MCU intended you to experience them. The Captain America films are woven into the larger Marvel Cinematic Universe, so watching in release order lets you catch the character development and cross-film callbacks as they were designed.
Between and after these films, Steve Rogers appears in: The Avengers (2012), Avengers: Age of Ultron (2015), Avengers: Infinity War (2018), and Avengers: Endgame (2019). His story arc reaches its conclusion in Endgame. If you want the full Captain America journey, watch in this order: First Avenger → The Avengers → Winter Soldier → Age of Ultron → Civil War → Infinity War → Endgame.
Pro tip: The Winter Soldier is the turning point where the MCU shifts from straightforward superhero action to complex political storytelling. If you only have time for one Captain America film, make it that one — it is universally considered the best, and it holds up even if you skip First Avenger.