During the virtual press conference for the film on Sunday, the actress — who reprises her MCU role of Yelena Belova for the upcoming movie — detailed the significance of her character’s decision to dive off the 2,227-foot building, the Merdeka 118 in Kuala Lumpur, Malaysia, and shared what it also meant for her personally.

Pugh, 29, recalled shooting the opening sequence of the film, while also touching on Yelena’s struggles with depression following past trauma and the death of her sister, Natasha Romanoff/Black Widow (Scarlett Johansson).

After crediting the “brilliant” stunt team of the Thunderbolts*, the Oscar nominee said, “In terms of coming at it from Florence, when I read the script and I opened the first page, it was such an impressive way to start the movie and it really, really allowed me to understand where she was. When you’re reading it on a page, it did feel like she was stepping off a building — alongside with the voiceover — as if she was taking her own life.”

“And when I read it, I just remember thinking how powerful it was to start a movie like that and the trust that clearly everybody was already having in putting a potential stunt in a script like that from many, many months before we started shooting,” Pugh continued. “I was just so impressed by it.”

“I also was just so impressed instantly how, as an audience member, we knew exactly where she was feeling,” she added. “And it was only because she’s obviously an assassin that she can land it. But for someone to jump off a building like that with the voiceover, it’s harrowing. It’s not a nice image to have, which is why when she actually steps off, everybody’s stomachs do just flip. It’s an image that we only all associate with something as something really, really bad, so I loved being a part of that.”

As for Yelena, who fans last saw in 2021’s Hawkeye, Pugh said she’s not in a good place following Natasha’s death in Avengers: Endgame and her strained relationship with their adoptive father Alexei Shostakov AKA Red Guardian (David Harbour).

“The way that I always thought about her in that opening sequence is that she is at such a loss,” she said of what inspired Yelena to jump off the skyscraper. “She doesn’t have any reason to be there anymore. She’s lost her sister. She’s lost her family. The relationship with her father is dwindled to nothing.”

“And she’s in such a state and a frame of mind that she’s happy to put herself at risk,” she added.

Pugh shared that she suggested Yelena not wear her super suit at the beginning of the film to shoot the sequence.

“In early fittings, I was going to be in my super suit, and I was like, ‘No, no, no.’ If she’s actually asking herself to be put in all of these situations to potentially get killed, she needs to be in something that doesn’t protect her,” she recalled. “So then we open[ed] up the discussion of her being in a tracksuit. Like, if she’s going to do all of these missions and she’s going to fight. Let’s take away the added layer of protection, which would be her super suit, and which would have all of her buttons and her gadgets.”

Puh said that while Yelena is “still doing all of these cool things and these cool stunts,” she went “into a mission completely bare,” which adds “texture as to how desperate she is for someone to end it for her.”

“And then, of course, you have to act on top of the tallest building and pretend as if it’s not scary and pretend as if you want to jump off it,” she said.

First social reactions to Thunderbolts* have praised the film for its representation of mental health, with Pugh highlighting how the movie portrayed Yelena’s healing from her trauma.

“I was very grateful that the intention of this script, and her in this script, was to actually show the truth of the character. It’s always very scary, obviously, when you’re playing someone that has… a story over years that maybe it might not be respected in the right way and they might skip a few beats of her healing,” she explained. “And I was just so grateful that we had a script that really represented what maybe someone is feeling after all of the trauma that was given, well, that happened to her.”

Pugh added that while Yelena is “incredibly strong,” she’s “just so desperate to have a sense of community.”

She went on to point out the important message the Marvel film leaves with viewers.

“I think it’s just a very, very impressive thing to see in a Marvel movie that is going to be seen by plenty of people, a message that we all need to constantly learn from and see that we all need to be there for each other,” Pugh said. “And essentially that’s how she gets saved. She gets saved by this new family. So yeah, I was hugely grateful to have something to really sink my teeth into.”

Meanwhile, Harbour, who was seated next to Pugh, praised his co-star for her performance and how she tackled her character.

“I do want to say that Florence came in with such strong ideas and such strong ownership of the character and of this arc, and she’s such a brilliant, you know, actress universally acknowledged,” he said. “And so to have a big studio movie like this allow her that freedom. Like, we even talked about the initial, like, you’re supposed to put her in the suit all the time when she jumps off a building, and Florence came in and was like, ‘I want to be in a weird sweatsuit and look terrible. Just say that something’s wrong with me.'”

In addition to Pugh’s Yelena and Harbour’s Red Guardian, the Thunderbolts also consist of Bucky Barnes (Sebastian Stan), Ghost (Hannah John-Kamen), Taskmaster (Olga Kurylenko), and John Walker/U.S. Agent (Wyatt Russell). For the film, Julia Louis-Dreyfus reprises her role as Valentina Allegra de Fontaine, while Lewis Pullman makes his MCU debut as “Bob,” who is rumored to be portraying the villain, The Sentry/The Void.

The official logline for the film, per Disney, reads: “In Thunderbolts* Marvel Studios assembles an unconventional team of antiheroes — Yelena Belova, Bucky Barnes, Red Guardian, Ghost, Taskmaster and John Walker. After finding themselves ensnared in a death trap set by Valentina Allegra de Fontaine, these disillusioned castoffs must embark on a dangerous mission that will force them to confront the darkest corners of their pasts. Will this dysfunctional group tear themselves apart, or find redemption and unite as something much more before it’s too late?”

While Thunderbolts* is set to be released next Friday, Marvel fans — per usual — are looking ahead to what’s next. Following the movie and July’s The Fantastic Four: First Steps, the next film is the highly anticipated Avengers: Doomsday, which will feature a star-studded ensemble cast full of MCU characters, including the majority of the Thunderbolts, as they face off against Doctor Doom (Robert Downey Jr.).

Unsurprisingly, Marvel Studios president Kevin Feige gave a “non-answer” when asked about Doomsday, but he did confirm that the film officially begins production on Monday.

“What’s very exciting is the audience getting to meet this team in this movie this Friday,” Feige said during Sunday’s Thunderbolts* press conference. “We then have another team called the Fantastic Four that they’re going to get to meet in July.”

“Avengers movies are always about incredible actors who’ve never met before on screen meeting for the first time and interacting in ways that they’ve never interacted before,” he added. “That’s my favorite part of Avengers movies. There’s already been a little taste of that with some people sitting here. And we officially start on Monday. So that’s what’s next for us.”

Thunderbolts* hits theaters May 2. The Fantastic Four: First Steps and Avengers: Doomsday are set to be released on July 25, 2025, and May 1, 2026, respectively.

If you or someone you know needs help with mental health text “STRENGTH” to the Crisis Text Line at 741-741 to be connected to a certified crisis counselor.