In D8, location of theme moved to /themes, while the core themes moved to /core/themes, not sites/all/theme like Drupal 7. The basic theme structure of D8 Will have sub folder for images,css, js & templates.
This is how the directory structure of theme looks like in Drupal 8.
screenshot.png : This is theme screenshot file that will be displayed in the administrator page. (you can see the screenshot in the appearance page admin/appearance)
/templates (twig files or *.html.twig ): All template files are store in 'Templates' folder. These files provide HTML markup to your theme page & responsible for how is your theme looks. If you want to override the default markup of template files then, you have to follow drupal naming conventions so that older template file overridden by new one.
Example of twig files (*.html.twig) : html.html.twig, page.html.twig
html.html.twig - defines every page on the site
page.html.twig - defines Html markup & Region definitions. This file will render how your page layout will look like.