That would very much depend on how you define “destroy”. Thanos in Avengers: Endgame reduces the Infinity Stones to atoms by using their power against themselves.
Natasha Romanoff: Where are the Stones?
Thanos: Gone. Reduced to atoms.
However, right after that, he states he destroyed them this way.
Bruce Banner: You used them two days ago!
Thanos: I used the stones to destroy the stones. It nearly killed me. But the work is done. It always will be. I am... inevitable.
Now if you go by the definition of rendering them unusable, which the Avengers and Thanos believe he did, then yes you can very much destroy them. However, they were still there just broke up into atoms which one could say meant they weren’t destroyed.
It’s also worth noting what The Ancient One tells us about the Infinity Stones. She says they create the flow of time and removing one would make time split. As this did not appear to happen after Thanos destroyed the Stones, we can probably say they weren’t “removed” as such so weren’t 100% destroyed.
The Ancient One: The Infinity Stones create what you experience as the flow of time. Remove one stone and that flow splits.
So Thanos with all the Infinity Stones at his disposal destroyed the Stones but couldn’t completely destroy them. But then, of course, it’s worth noting if he wanted to completely destroy them or if he just wanted to render them unusable. Or of course, even if they could be completely destroyed. Essentially it all depends on what you mean be destroy in this context.
And of course Thanos' actions aside it's also worth mentioning that Wanda destroyed the Mind Stone in Vision's head in Avengers: Infinity War. Again though the Stone appears to be destroyed but no lost completely. It looks to be reduced to fragments/atoms but not gone, gone. So your interpretation of what destroyed means plays a big part in whether this counts or not.
Whilst this question is about the MCU, it is also worth noting that in the comics the Infinity Gems have been destroyed on a few occasions. For example, as we see in New Avengers Vol. 3 Issue 3 when Cap is using the Infinity Gems to push away the other Earth.
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