If you acquired health insurance through the marketplace, whether the federal marketplace or one of the state ones, then yes, you should have gotten a 1095-A. The marketplace place refers to the Affordable Care Act, aka, "Obamacare".
In fact, if you file without the 1095-A (which generates form 8962 on your return, you will just get a letter pretty quickly from the iRS asking where the 8962 is.
Contact your marketplace to see where your 1095-A is. On the federal marketplace (HealthCare.gov) at least, you may be able to get it online.