In Malaysia, Yelena Belova destroys a laboratory on behalf of CIA director Valentina Allegra de Fontaine to conceal her involvement with the O.X.E. Group's "Sentry" superhuman project. As de Fontaine faces imminent impeachment for her work with O.X.E. Group, she dispatches Yelena, John Walker, Ava Starr, and Taskmaster to a covert O.X.E. facility under the pretense of a mission. Once there, the operatives are pitted against one another in a deadly confrontation where Ava kills Taskmaster before they unexpectedly release a mysterious man named Bob from a suspended animation pod in the room. Upon learning that they were sent by de Fontaine to be incinerated along with any evidence of her misconduct, they manage to escape from the trap.
De Fontaine learns that the group has survived, including Bob, who was presumed dead during the Sentry trials. When she arrives at the site, Bob creates a diversion by drawing enemy fire, allowing Yelena, Walker, and Ava to escape, only to sustain no injuries despite being shot. Bob then uncontrollably ascends into the air before passing out and crash-landing back at the compound, where he is captured and transported to the former Avengers Tower in New York City, now renamed the "Watchtower". De Fontaine intends to introduce Bob to the press as a super-powered protector akin to the Avengers, hoping the PR stunt will avert her impeachment. Meanwhile, Alexei Shostakov, who had overheard details of de Fontaine's plot while working as a freelance chauffeur, rescues Yelena, Walker, and Ava. Inspired by Yelena's childhood soccer team, Shostakov refers to the group as the "Thunderbolts".
De Fontaine's agents pursue the Thunderbolts before they are ultimately apprehended by Bucky Barnes, who intends to have them testify in the impeachment proceedings. Upon learning that Bob was a subject of one of de Fontaine's top-secret experiments, Barnes joins the group to head to New York to infiltrate the Watchtower. The Thunderbolts discover that de Fontaine has convinced Bob to join her side as a new superhero she plans to market as a replacement for the Avengers called the Sentry. After easily overpowering the team and forcing them to retreat, Sentry develops a god-like delusion of superiority, turning on de Fontaine. However, her assistant, Mel, incapacitates him with a fail-safe kill switch. This triggers the emergence of the Void, Bob's destructive alter ego and the embodiment of his depression and insecurities created as a result of the procedure and his fractured psyche, who begins engulfing New York City in supernatural darkness, trapping its citizens in pocket dimensions based on their worst memories.
Realizing the only way to stop the Void is from within, Yelena enters the darkness to reach Bob's consciousness. There, she faces her haunted past as a Black Widow and finds Bob hiding in a recreation of his childhood bedroom, where his father abused him. The other Thunderbolts soon join them, and together they travel back to the memory of Bob's initial experimentation in Malaysia, where he volunteered for the procedure, hoping to improve himself after becoming an aimless drug addict. The Thunderbolts confront the Void, but are swiftly overpowered. As the struggle threatens to fully consume Bob, the team intervenes, affirming their belief in him. Their solidarity empowers Bob to regain control, overcoming the Void as light and normality return to the city.
With the threat neutralized, the Thunderbolts prepare to apprehend de Fontaine. However, she manipulates public perception by staging a press conference in which she re-brands them as the New Avengers. The Thunderbolts reluctantly agree, but Yelena threatens de Fontaine if she betrays them again.
In a post-credits scene: the New Avengers and Bob discuss an ongoing problem in outer space, when they receive a distress signal from an inter-dimensional spacecraft with a large "4" emblem.
