WARNING: The following contains spoilers for What If...? Episode 3, "What If... the World Lost Its Mightiest Heroes?," now streaming on Disney+.
The inherent fun of a series like What If...? is the chance to see things play out in radically different ways for the heroes and villains of the Marvel Cinematic Universe. This can range from surprising heroics to tragic turns of events, leading to entirely new worlds where things follow different paths. "T'Challa as Star-Lord" introduced us to a largely positive reality following T'Challa's intervention in space -- despite hints of a tragic fate befalling the Asgard of that reality -- but there are other worlds, such as the one introduced in the third episode of What If...?'s inaugural season.
The third episode of What If...? explores a particularly dark variant timeline where the original MCU Avengers never got the chance to assemble -- because during Fury's Big Week, almost all of them were murdered.
"Fury's Big Week" refers to a period in Phase 1 of the Marvel Cinematic Universe in which a number of fantastical events all technically took place within seven days of each other: Tony Stark perfecting a new element with SHIELD's help in Iron Man 2, the Hulk becoming a publicly known figure in Incredible Hulk, and the arrival of Thor to Midgard (i.e. Earth) and his subsequent leaving as an ally in Thor. In many ways, Fury's Big Week set the stage for The Avengers, with most of the team's major founding members making themselves known during this period. This time-frame also established S.H.I.E.L.D. agents Black Widow and Hawkeye as some of Fury's best allies on the ground. Along Captain America, this group would form the core Avengers line-up and usher in Phase 2 of the MCU.
However, What If...? introduces a far more deadly series of events that radically changes everything -- and almost all for the worse. Thanks to the intervention of a vengeful Hank Pym, who in this reality is driven over the edge by the loss of his daughter Hope on a SHIELD mission, all five heroes Fury and his forces had contact with were wiped out in brutal fashion. First Pym sabotaged the SHIELD-provided cure for Stark -- killing him and implicating Black Widow. Then, Pym was able to force Hawkeye to let loose an arrow against a powerless Thor, murdering the God of Thunder, before sneaking up on a detained Clint Barton and killing him too. Pym's intervention also mutated the Hulk's blood cells and forced his powers to overload and destroy him mid-transformation Finally, Pym's sneak attack against Black Widow resulted in her demise.
All of this leaves Fury without any of the big guns he'd hoped to recruit for his Avengers Initiative, and increasingly desperate. With little other option, Fury is forced to openly embrace Loki when he arrives on Midgard with an army at his back, working with him to catch Pym and bring him to justice for his actions. But this in turn allows Loki to make a more deliberate call to claim Midgard as property of Asgard, which forces Fury to scramble to assemble a new team of potential Avengers. He finds Captain America in the ice, and calls in Captain Marvel years earlier than in the core-MCU canon. But that doesn't fix years of planning and hoping for the best in humanity, all torn down by a single vengeful man on a path of destruction and revenge.
Fury's Big Week is as a foundational part of the MCU as it is -- and there's no telling the sheer cascade of events that might play out differently and for the worse without Thor, Iron Man, Hulk, Hawkeye, and Black Widow to help. Major battles against deadly foes will likely go worse than if the Avengers had their full roster. The Dark Elves and the legion of Iron Man imitators in Iron Man 2 may become fully capable. Fury's position in SHIELD may be threatened by these events -- leaving him (and the world) more open to attack from the HYDRA Splinter Cell hiding within the spy organization. Fury's Big Week might have been a series of victories in the core-MCU, but What If...? shows just how poorly things could have gone for the heroes of the Marvel Universe, even before they came together.