I've never even heard of Thunderbolts. Who is the low rent Captain America? Couldn't they find someone who didn't look like he just won his local wife beating contest?
Other than Sentry, these MCU characters were all _antagonists_ in previous Marvel movies / shows. None of them were really _willingly villainous_, however.
Winter Soldier - While mind controlled, elite assassin for Soviets. (Sounds like he's barely in this thing.)
Red Guardian - Soviet knockoff of Captain America from the Black Widow prequel movie, infiltrated and sabotaged targets in the US, but under orders.
Yelena Belova (New Widow) - Also introduced in Black Widow, she's basically on Natasha's side for that entire movie. She then shows up in the Hawkeye TV show intending to kill a couple people, but doesn't.
Taskmaster - Yet another Black Widow character, who while also mind controlled, killed people.
U.S. Agent - From the Falcon and Winter Soldier TV show, the government's replacement for Captain America. I think he gets too aggressive from the serum and kills _a_ super powered terrorist while working under direct orders, which is a pretty low bar for villainy. (I didn't finish the show.)
Ghost - From Antman and the Wasp, elite assassin for SHIELD. Her powers are killing her though, so she tries to take control of the quantum realm generator to heal herself, I think? (The ending of that movie is a mess.)
Bob / The Sentry - New to the MCU.
While not known to the general public, The Thunderbolts comic is famous in comics circles for its first issue twist - after introducing a batch of painfully generic new heroes, it's revealed that they are all well known super villains with new identities working for Baron Zemo, intending to use public goodwill / funding to their own ends. They then morph into a rotating crew of anti-heroes.
Obviously the comics crew knows what their deal is, and any normie who googles will find out in two minutes as well, so (much like Spider Man Far From Home) there has to be an MCU specific twist, which is what the asterisk in the title is for, as by the end of the movie they'll have a different name - though whether that's Dark Avengers, Doom's Contract Killers, or something else is unknown.