In Malaysia, Yelena Belova embarks on a mission for CIA director Valentina Allegra de Fontaine, tasked with destroying a laboratory tied to the O.X.E. Group's controversial “Sentry” superhuman project. As de Fontaine faces possible impeachment due to her association with O.X.E., she orchestrates a covert operation involving Yelena, U.S. Agent John Walker, Ava Starr, and the formidable Taskmaster. The mission takes a perilous turn when they are forced into a deadly competition against each other, culminating in Ava killing Taskmaster before they inadvertently free a mysterious figure named Bob from a suspended animation pod within the facility.
Realizing they have been sent into an elaborate trap aimed at eliminating them alongside any evidence of de Fontaine's wrongdoings, the group escapes just in time. De Fontaine quickly learns that they survived, including Bob, who was declared dead during the Sentry trials. As she arrives at the scene, Bob creates a diversion by drawing enemy fire, enabling Yelena, Walker, and Ava to flee unharmed. However, Bob continues to rise uncontrollably into the air, leading to his eventual crash-landing back at the compound, where he is captured and taken to the former Avengers Tower, now known as the "Watchtower." De Fontaine aims to introduce Bob to the media as a super-powered protector like the Avengers, hoping this publicity stunt will save her from impeachment.
Meanwhile, Alexei Shostakov, who overheard de Fontaine's conspiracies while working as a chauffeur, comes to the rescue of Yelena, Walker, and Ava. Inspired by Yelena's childhood soccer team, he dubs them the "Thunderbolts." However, the Thunderbolts soon find themselves pursued by de Fontaine's agents but are apprehended by Bucky Barnes, who wants them to testify against her. Upon discovering that Bob was part of one of de Fontaine's secret tests, Barnes decides to ally with the group, and they head to New York to infiltrate the Watchtower.
Once there, the Thunderbolts learn that de Fontaine has persuaded Bob to join her and become the new superhero she plans to promote as a replacement for the Avengers under the name Sentry. However, their team is swiftly overpowered, forcing them to retreat. Bob develops a delusion of grandeur, turning against de Fontaine, but her assistant Mel manages to incapacitate him with a fail-safe kill switch. This action triggers the emergence of the Void, Bob's darker alter ego born from his emotional struggles and insecurities, which begins engulfing New York City in supernatural darkness and trapping its inhabitants in pocket dimensions based on their worst fears.
Understanding that the only way to defeat the Void is from within its realm, Yelena bravely enters the darkness to reach Bob's consciousness. Confronted by her own traumatic past as a Black Widow, she finds Bob hidden in a nightmarish version of his childhood bedroom. The rest of the Thunderbolts soon join them, as they journey back to the moment of Bob's initial experimentation in Malaysia, where he had hoped to transform his life after falling into drug addiction. Together, they confront the Void, but find themselves quickly overwhelmed. As the danger of Bob becoming entirely consumed looms, the Thunderbolts band together, reaffirming their belief in him and bolstering his strength to reclaim control. Ultimately, this solidarity allows Bob to overcome the Void, restoring light and normalcy to the city.
With the immediate threat neutralized, the Thunderbolts turn their sights on capturing de Fontaine. However, she manipulates public perception by staging a press conference, rebranding them as the New Avengers. The group, despite their reservations, agrees to this new identity, but Yelena issues a warning to de Fontaine about any future betrayal.
In a post-credits scene, the New Avengers, alongside Bob, discuss a lingering issue in outer space when they receive a distress signal from an inter-dimensional spacecraft marked with a prominent "4."
