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You want to make sure to have the background on all the tie-ins with other MCU releases? You can follow the movie without them, but (in falling order of relevance, off the top of my head):

- Black Widow (2021)
"Thunderbolts*" is pretty much Black Widow 2
Who Yelena, Red Guardian, Taskmaster are

- The Falcon and the Winter Soldier (2021 mini series)
Who knock-off Captain America John Walker is
Who Valentina Allegra de Fontaine is
More about Bucky

- Captain America: The Winter Soldier (2014)
Who Bucky is

- Ant-Man and the Wasp (2018)
Who Ghost is

- Hawkeye (2021 series)
More about Yelena

- Captain America: Brave New World (2025)
Why "[our last President turned into a red monster]"
What Bucky has been up to very recently

- The Avengers (2012)
What the Battle of New York was
Who the Chitauri are
Why Natasha / Black Widow was in a team with a god
Avengers Tower