They absolutely did not. No where in the entire movie is creating an alternate timeline by changing events ever mentioned, by anyone. Hulk, Tony and the Ancient One all never say it, Ancient One just talks about removing the stone creating a split. It's never mentioned. Not once. That's what's causing all this trouble.
In fact Hulk's speech, despite directly talking about how changing the past won't change the present, never mentions new timelines or splitting timelines. That right there was the time to address this. Hulk speech, along with the ancient ones speech, actually make things worse because all Hulk says is "when you travel to the past that past becomes your future" if you wanted to you could use this to argue for their being only one timeline, except this creates paradoxes like Loki being captured/free.
All it is is a big waste of everyone's time. We are arguing interpretations of an imaginary story that the people who created couldn't be bothered to explain properly or even keep consistent among themselves.
My personal headcanon;
Thanos/Gamora/Nebula disappear suddenly in 2012 creating Universe B. IW and EG never happen there. Gamora never joins the Guardians.
Loki escaping creates Universe C where he is never imprisoned. Changing events in Thor 2/3 and IW.
Cap never creates a new timeline, he stays in our universe, Universe A, and just grows old with Peggy then goes and sits on that bench. Where'd he get a new shield then? I dunno and fuck you.