Iron Man: A newscast mentions rumors that Tony is suffering from PTSD following his return from Afghanistan and has been bedridden. Come the third film he is suffering from PTSD following The Avengers, and he hasn't been able to sleep due to nightmares.
Tony: Hey, buddy. I didn't expect to see you here... Rhodey: Look, it's me, I'm here, deal with it. Let's move on.
Captain America: The First Avenger: The beginning of the film has the Red Skull's forces attacking Tonsberg, Norway, and he's implied to have ordered the town decimated after acquiring the Tesseract. This movie was released the same day as the Oslo bombings in Norway.
A major part of the film's plot is a series of explosions, orchestrated as terrorist attacks by the Mandarin. One of the locations of the explosion being a theater falls into this in light of the November 2015 attacks of Paris.
Tony says at one point, "We make our own demons," which references the way he spurned Aldrich Killian, the film's Big Bad, into villainy. Tony also is looking forward to a new project at the end. Both of these are made harsh in light of Avengers: Age of Ultron, in which Tony's aforementioned project becomes that film's titular villain.
Tony and Rhodey at one point speculate that Killian's plan for President Ellis is to burn him and give him a Viking funeral. Thor: The Dark World, the next film in the franchise, actually features one for Odin's wife Frigga.
In-universe, one of Nick Fury's fondest memories of Alexander Pierce involves the man turning down a Nobel Peace Prize by saying that "peace isn't a reward, it's a responsibility." By the time of the story, Pierce's idea of peace is one enforced by HYDRA.
The Reveal of Agent Sitwell and Senator Stern as HYDRA agents. Sitwell was a harsh enough blow, especially for fans of the shorts between movies that depicted him as an okay guy. Senator Stern comes with a startling realization. During Iron Man 2, he pushed for Tony Stark to turn his suit over to the U.S. military out of responsibility. It's chilling to think how close HYDRA came to acquiring the Iron Man suit. Making it worse, the U.S. military's immediate action when Colonel Rhodes did acquire Tony's spare suit was to weaponize it in the name of patriotism.
Sam mentions that his wingman was shot down by an RPG during a late-night mission. That's pretty tragic until you see that Sam isn't a jet pilot but instead wears a winged combat suit. Then comes the realization that he had to watch his best friend get shot point-blank with an RPG.
In The Avengers, Tony comments that "In a few hours, I'll know every dirty secret S.H.I.E.L.D has ever tried to hide." With the reveal that HYDRA was using S.H.I.E.L.D. as a front and had been manipulating it, Tony either Failed a Spot Check or HYDRA put fail-safes in place in case Tony tried such a move. Or there was simply so much information that he had no way of sifting through all of it to pick out the discrepancies.
In the 1998 Nick Fury movie, when Alexander Pierce makes a mistake during a mission, Fury says that he is either a traitor or an idiot. While the Pierce from that movie wasn't a traitor, the one in this movie is.
When Steve wakes up in a hospital bed at the end of the film, this is the second time he's found himself in a similar situation after falling into water from a great height expecting to die. The first time this happened, he found the era-appropriate room was a lie and that he had actually been asleep for 67 years. If he hadn't seen Sam there with Marvin Gaye's "Trouble Man" — a soundtrack from an era he missed — it wouldn't have been pretty.
In The Avengers, Loki insulted Natasha for wanting to atone for her past by working in the service of liars and killers. It's ambiguous whether he referred to the KGB (Natasha's previous employer) or S.H.I.E.L.D. If he was referring to S.H.I.E.L.D., then he turns out to be right, since HYDRA-infiltrated S.H.I.E.L.D. are indeed trained manipulators and assassins.
An out-of-universe example: The Avengers (2012) did not get Backed by the Pentagon because of concerns about the fact that S.H.I.E.L.D. was subordinate to the World Security Council, an entity that almost nothing was known about, and so the Pentagon wanted nothing to do with the movie. Come this film, those concerns were proven absolutely right as S.H.I.E.L.D. is revealed to be basically a reborn HYDRA.
Avengers: Age of Ultron: Black Widow's storyline, in which she becomes a Love Interest to Bruce Banner and refers to herself as "a monster" because she was sterilized during her spy training, was criticized as sexist. In 2017, it got out that Whedon's divorce was a nasty one and his ex-wife revealed that Whedon himself didn't practice the feminist ideals he preached.
May 6-7, 2016 were not good days for War Machine in any medium. The former saw the release of Civil War, in which he's crippled by a stray blast from The Vision. The latter saw the release of the Free Comic Book Day special that kick starts Civil War II in which he's killed by Thanos.
A major scene of the film is Peggy Carter's funeral. In the week following the film's theatrical released, Agent Carter was cancelled.
Agents of S.H.I.E.L.D.: At the beginning of the second season, a brain-damaged Agent Fitz (who is Scottish) is left unable to properly function without his best friend Simmons (who is English). The episode aired shortly after Scotland voted against independence from England.
The season 1 episode "Into the Ring" has Wilson Fisk attempt to have Karen Page killed by having a corrupt guard hang her in her cell in a way that looks like a suicide. A few months later, in July 2015, when a Texas woman named Sandra Bland committed suicide in custody, there were allegations of foul play.
Also from "Into the Ring", Foggy chides Matt for taking up Karen's case, saying "You don't necessarily show the best judgment when beautiful women are involved, Matt." In season 2, we learn the specific details of Matt's relationship with Elektra and see what a bad influence she was on him, both when they dated in college and in the present day when she returns seeking Matt's assistance in the fight against the Hand. Suddenly, Foggy's line sounds less like a joke and more like concern that Karen might be cut from the same cloth as Elektra.
In "Condemned", a corrupt ESU sniper on Wilson Fisk's orders guns down a couple of cops, including Detective Blake, who'd become a liability. It can be hard to watch after the 2016 assassination of five Dallas police officers during a protest.
Any scene where Claire worries about the legal ramifications of treating Matt in her apartment after Jessica Jones (2015) reveals that she was eventually evicted for it.
Iron Fist (2017) gives a further explanation on the Hand's resurrection technique, revealing that it gradually chips further and further away at a person's humanity and identity each time. With Nobu already completely unaffected by cold at the start of the show, how far gone was he? On the plus side, the later show also confirms that he's dead for good, as cutting off their head makes it permanent.
At one point in "Nelson v. Murdock", while processing the revelation that his best friend is secretly a masked vigilante, Foggy says to Matt, "You're going to get yourself killed if you keep this up. You know that, right?" The Defenders (2017) ends with Matt being presumed killed under Midland Circle, and the way Foggy tears up when Matt doesn't come back through the precinct door is that of his worst fears being confirmed, ones he's had to face many times in the interim such as when he had to drag a concussed Matt home from getting shot by Frank Castle.
We learn that Reva Connors was the love of Luke Cage's life and he was devastated by her death at the hands of a Kilgrave-controlled Jessica Jones. Every scene with Reva in Jessica Jones becomes much harder to watch after Luke Cage (2016) reveals she was complicit in the experiments that went on at Seagate Prison, including the ones that gave Luke his powers.
Jeri Hogarth's subplot in season 2 involves her trying to find a cure for her recently-diagnosed Lou Gehrig's disease, and getting conned by a former nurse who passes her boyfriend off as someone who can heal by touch to trick Jeri into getting him out of prison. Season 2 came out a week before the death of Stephen Hawking, who was known for having lived over 50 years with Lou Gehrig's disease against all odds.
Pop mentions in "Code of the Streets" that he had a son he lost connection with, and how over the years, he could have sat down in his chair and he never would have known. It's one of the reasons he tries to play surrogate father to young men like Chico. It's sad enough that Pop is killed at the end of the episode, but his memorial service three episodes later makes it so much worse. His son is the first person to give a eulogy, mentioning how he knew where his father was, and he wanted to reach out to him, even tell him about his grandchild, but he never did.
Misty Knight gets shot in the right arm by Diamondback during the hostage situation at Harlem's Paradise and almost has to have her arm amputated before medical attention from Claire saves it. Come The Defenders (2017), Misty loses the arm for real while rushing to save Claire from being decapitated by Bakuto.