Captain America: The First Avenger

S.H.I.E.L.D stands for Strategic Homeland Intervention Enforcement and Logistics Division and was founded by Howard Stark, Colonel Chester Phillips, and Agent Peggy Carter, of which the latter two are introduced in the next MCU film Captain America: The First Avenger. 

The beginning of this film already intertwines the audience into the bigger scope of the MCU as it begins during World War II with the Red Skull attacking Tonsburg, Norway seeking an artifact made by the gods. This is an allusion to the gods of Asgard, as they are Norse gods and when Red Skull finds the location of the Tesseract there is a diagram of a universal tree linking the Nine Realms. This tree is Yggdrasil and was explained in Thor briefly when Thor explained how the Nine Realms are connected. 

The Tesseract holds inside it the first Infinity Stone to appear in the MCU which is the Space Stone and during the climax of the battle between Red Skull and Captain America, we see Red Skull teleported into space when he handles the Tesseract so his fate is ambiguous and it is implied he may still be alive. The Tesseract falls to Earth and is then uncovered by Howard Stark when searching for Captain America who also fell to the earth and was frozen in ice for almost 70 years thus the Tesseract had been in S.H.I.E.L.D’s custody for the same amount of time. 

Other essential characters besides Peggy and Colonel Phillips in this film are the Howling Commandos whom Captain America frees from imprisonment in Austria and included among them is Captain America’s best friend Bucky Barnes who we all know becomes the Winter Soldier.