In Thor: Ragnarok, especially, Thor has a monumental battle in the arena with the Hulk receiving not physical damage (ok he got knocked out but didn't even get a black eye) yet in his fight with Hela he loses an eye and gets stabbed in the back a few times. Does he receive this damage because he is related to Hela therefore they can damage each other, or because he is in Asgard?
Thor acknowledges his own mortality in Avengers: Infinity War:
Thor: You know, I'm 1,500 years old. I've killed twice as many enemies as that, and every one of them would have rather killed me, but none succeeded. I'm only alive because Fate wants me alive. Thanos is just the latest in a long line of bastards, and he'll be the latest to feel my vengeance. Fate wills it so.
In the same movie, Thor also:
took the full heat of the dying star when making Stormbreaker and was knocked out for several moments, with the implication that this almost killed him.
Therefore, it stands to reason that he is not indestructible.
Regarding the specific movie, Thor: Ragnarok, it is actually said that Hela is stronger than all other living Asgardians at the moment:
Loki: She's stronger than both of us. She's stronger than you. You don't stand a chance.
Therefore, since Hela quite easily tore out Thor's eye, then she could also probably fatally wound him and indeed that seems to be her intent in the movie.