S.W.O.R.D. has become a major presence in the Marvel Cinematic Universe thanks to WandaVision; although, it may have made its first appearance in Spider-Man: Far From Home, if that was who Nick Fury was working alongside with during the post-credit scene. However, the first mention of S.W.O.R.D. almost came in Thor, with Erik Selvig mentioning it in an alternate ending, but that scene was cut from the final film, yet it is available, as are the deleted scenes from most Marvel movies, on Disney+.
In Thor, the God of Thunder battles Loki's Destroyer on Earth before returning to Asgard for a fight that destroys the Bifrost. The movie's ending features Thor and Heimdall on the destroyed Bifrost, and Thor asks if Heimdall can see Jane Foster, which he can. On Earth, Erik, Jane and Darcy Lewis load their truck with equipment and head out in hopes of finding Thor. However, this is not what happens in the alternate ending.
In the deleted ending, Erik, Darcy and Jane set up shop at the Smith Motors location once more. Not only do they have access to their information again, but Erik also has his dream finally realized, with an expanded team working under him as they prepare another simulation of the "Foster Theory." This time, they're using the S.H.I.E.L.D. astrophysical records, and cross-referencing them with the S.W.O.R.D. database.
As far as the deleted scene goes, S.W.O.R.D. has existed since Phase 1, so it was around during S.H.I.E.L.D.'s downfall in Captain America: The Winter Soldier. This is worrisome because, in The Winter Soldier, the heroes learn Hydra infiltrated S.H.I.E.L.D. early in the organization's history. If S.W.O.R.D. and S.H.I.E.L.D. operate under the same government control, this could mean there are Hydra agents involved within S.W.O.R.D. as well, which makes their desire to capture Vision and eliminate Scarlet Witch even more distressing.
With that said, the deleted scenes are not always canon within the MCU. At the end of the movie, Erik, Jane and Darcy pack up and search for Thor, without any indication that they're using S.W.O.R.D. technology or information to achieve this. Furthermore, in the final cut of the movie, Erik meets with Nick Fury in the post-credit scene to discuss the Tesseract, and the mirror reveals Loki controlling the scientist, implying Erik will work with S.H.I.E.L.D. -- not S.W.O.R.D. -- while under Loki's influence.
However, this means Marvel Studios was thinking about S.W.O.R.D. long before it officially introduced the organization to the MCU. At the time of Thor, most of the action was Earth based, and it wasn't until Phase 2 that the cosmic side of the MCU properly opened up. While it's fun to hear S.W.O.R.D. mentioned in a deleted Thor scene, and there is a chance Erik knew something about it, S.W.O.R.D. was kept behind-the-scenes until WandaVision.