Shuma-Gorath's Ego Maze first appeared in Marvel Comics' Secret Avengers Vol 1 #33 in 2012. So far it has appeared in two issues of the same volume, #33-34.
When Captain Britain gave the Undead Avengers of Earth-666 the Orb of Necromancy to prevent its use elsewhere, they stored it in Shuma-Gorath's Ego Maze. It's not clear if it is actually located in their world or in another dimension, but Brother Voodoo of the Undead Avengers opened a mystical portal to get to Shuma-Gorath's Ego Maze.
They placed it in the "center tower", and before they went through the portal, Captain Britain was warned that a living man could end up dying of introspection in there. He also mentioned that he risked the fabric of his mind by taking him there. The "center tower" ended up being an Undead Celestial, the god of the planet's inhabitants, who held the Orb of Nercomancy which they planned to use to spread undeath throughout the cosmos.