As it appear that some people are still confused, I'm going to give one more go at trying to explain what's going on. During a mission, a bomb exploded underground leaving Steve extremely injured, and trapped under ground, being crushed by the debris from the explosion. While he was there, due to the continuous aggravation of his injuries, he was unable to heal himself (this is totally creative license by the way because I have no idea if he'd be able to heal in this circumstance or if his body would simply keep him from dying), and whenever he regained consciousness he experienced something called "absolute darkness" a scientific term for the absolute lack of light found underground in places like the one Steve is trapped in.
His mind was unable to take both the injuries, the absolute darkness (which will blind you in 7 days, and has been known to drive a normal person crazy, let alone a fucked-up, fatally wounded super-soldier), and thus it created hallucinations and delusions of Peggy, Howard, Bucky, and the others. It also brought back memories of Steve, and basically these delucions/hallucinations convinced Steve that he was still trapped in the ice and that everything he'd experienced upon "waking up" in the 21st century was made-up by him.
That's why I brought up the darkness and the cold so much, because it all fend into Steve's eventual belief that he really had made it all up. It's also why he so frequently had nightmares, ect. about Peggy, Howard, Bucky, Tony, Natasha and Clint becoming each other, because they are all so similar that it made it easier for him to start to believe that a totally illogical concept was possible.
Hopefully this has cleared up any questions any of you guys had, but if you are still feeling confused feel free to message me and I will do my best to further explain things.