The setting has horrors aplenty, especially since the Big Bad effectively pulled a bloody Happy Ending Override on our daring heroes.
- The setting is essentially a Bad Future with Ultron having conquered half the planet. Not only did he kill the Avengers (as shown in the first five minutes of the film) after they settled down and had kids, it's implied that by the time of the movie, he's killed every single one of Earth's heroes, barring Iron Man, Hulk, Thor, and Vision. The only hope the world has are the barely trained children of the Avengers who are in over their heads and nearly face death multiple times trying to stop Ultron's forces.
- Even more disturbing is how the surviving heroes who could do something refuse to do so, with Thor effectively leaving Earth to rule Asgard and insanely leave his child daughter to be raised on Earth under Ultron's Regime while the Hulk essentially caved into despair and opted to live in solitude.
- Thor in particularly is horrible in this case, as he effectively abandoned his daughter Torunn on Earth to the point she began praying to him in the beginning of the film for guidance and often doubted he even existed.
- Seeing all those "trophies" in Ultron's fortress was very unsettling. The tattered cowls and broken armor of hundreds of fallen heroes, proudly on display.
- Torunn undergoing a Break the Cutie moment as she realizes she's not as unstoppable as she believed. The Iron Thor pummels her into the ground and she's goes from Proud Warrior to an injured young girl practically screaming for her father to help.
- Ultron's Iron Avengers are terrifying caricatures of the Avengers, especially in that Ultron is sending them to murder the children of their namesakes when they were made by Iron Man to defeat Ultron.
- Torunn nearly dies trying to scatter Ultron's remains into space, shown to be almost freezing to death in the vacuum of space until the very last second.
