When Wolfgang von Strucker and his HYDRA cell got their hands on Loki's Scepter, which was confiscated by S.H.I.E.L.D. after the Battle of New York, they began studying it, eventually realizing that its powers were far greater than they originally thought. Their research of the gem inside the Scepter enabled them to start experimenting with the artificial intelligence, for which they designed several very advanced robots.
A year later, Strucker's base in Sokovia was attacked and captured by the Avengers. Iron Man discovered the Scepter and several partially-constructed robots among the experiments in Strucker's secret laboratory. These robots were later modified and mass-produced to be Ultron's new army.
Later, when Ultron went to retrieve vibranium from Ulysses Klaue, a few Sentries assisted him when the Avengers arrived to sabotage the operation. A couple more would accompany Ultron to Seoul where the AI would attempt to create a new body by using a device known as the Cradle. All remaining Ultron Sentries were present during the Battle of Sokovia. They helped Ultron to fight the Avengers and keeping them busy while Ultron raised Novi Grad to the sky. One of the Sentries crashed onto the bridge of the Helicarrier and attempted to kill the crew inside. Nick Fury and Maria Hill managed to destroy it.
As the Avengers protected the key that would drop the city to the ground, Ultron summoned his remain Sentries to get to the key, but the Avengers destroyed them all. However, after the Avengers left the key, one of the Sentries touched the key and caused the city to drop.
The last Ultron Sentry, carrying with it the last copy of Ultron's AI, was promptly intercepted by Vision and, after a brief conversation, was destroyed. 
Various parts of the Ultron Sentries were later sold on the black market.
With many destroyed sentinels, HYDRA collected many of the parts and took them to an undisclosed location in Eastern Europe, where they used the parts to create a giant robot called Ultimo. HYDRA then used the Ultimo to attack a small village. The Avengers reacted to the attack and destroyed Ultimo.
The Ultron Sentries bear a close resemblance to their master, the primary differences being that they are less bulky, have less armor and are slightly shorter. They have a blue glow that emanates from within their bodies, that turns red when carrying Ultron's consciousness. Unlike Ultron, they are unable to shoot concussive beams from their fingers. Instead, they are able to transform their arms into cannons.
Behind the Scenes
- The design of the Ultron Sentries is inspired by classic depictions of Ultron in the Marvel Comics.