As far as I know (haven't read the series personally), Thor loses his ability to lift Mjölnir after Nick Fury whispers something in his ear during the Battle of the Moon. I think I've seen a scene with him having his helmet on back then. In Avengers - Time Runs Out, Thor is already seen without his feathery helmet, and, shortly before the new Thor (J.F.) appeared, also got rid of his long hair (and left arm).
Did he just decide not to wear his helmet anymore because he became unworthy, or did he in fact lose it?