Full story
Yelena Belova is on autopilot. Since her sister's death, she's been doing dirty work for Valentina Allegra de Fontaine, the director of the CIA, and the latest job is destroying a lab in Kuala Lumpur. Yelena feels empty and asks for a more public role. Valentina is in trouble. She's facing impeachment over Project Sentry, a secret program run by her old company, O.X.E., and she wants every piece of evidence gone.
Her fix is to send her disposable operatives to the same hidden vault, each one ordered to kill the others. Yelena, John Walker, Ava Starr, aka Ghost, and Antonia Dreykov, aka Taskmaster, all show up. In the fight, Ava kills Antonia. In the middle of the chaos, a pod opens and out comes a confused man with no memory who says his name is Bob. The survivors realize the vault is about to be incinerated with them inside, so they escape together and take Bob along. When Valentina learns that Bob is the only test subject who survived Sentry, she grabs him back.
Alexei Shostakov, the Red Guardian, shows up to rescue the group. Walker names the crew the Thunderbolts, after Yelena's childhood soccer team. Bucky Barnes, now a congressman, joins the story too. He wants to bring Valentina down and takes the group to New York, to the old Avengers Tower, which she bought. There they learn Valentina has turned Bob into the Sentry, a hero with godlike power. Bob crushes the team without trying, but he lets them go because he doesn't see them as a threat.
The power goes to Bob's head, and he turns on Valentina. She triggers a failsafe, and that unleashes the Void, Bob's dark side, built from his depression and guilt. The Void covers New York in a darkness that swallows people and traps each of them in their worst memories. Yelena chooses to walk into that darkness alone to reach Bob. Inside, she relives her Red Room trauma and finds her way into his mind.
The other Thunderbolts follow her, moving through each other's shame rooms. The Void nearly wins, but the group surrounds Bob and hugs him, showing him he isn't alone. That gives Bob the strength to beat his dark side, and light returns to the city. Valentina, always quick, gets to the press first and introduces them all as the New Avengers. The Thunderbolts now have leverage over her and play along. The post-credits scene shows that the name is going to cause a fight and that something from outside is on its way, which comes back later.