We last saw him in the season 6 finale, “The Winds of Winter,” which was a definite low point for the character — he had just been dumped by Daenerys Targaryen. While they never actually were a real couple, they had been hooking up for a bit in Season 5. But thanks to some advice from Tyrion (who actor Peter Dinklage says is "smitten" with Dany himself), Dany decided it wouldn’t be smart for her to arrive in Westeros with a lover by her side. While Daario tried to confess his love to Dany and begged her to let him come with to Westeros, she made him remain in Meereen with the Second Sons to keep the order and the peace that Dany achieved there, not wanting the society to fall back into slavery. Presumably that’s where he still is today, but there’s no way of knowing for sure unless we see him again with our own eyes.