While most movies get made, released, and that's about it, comic book movies, and Marvel movies especially, get scrutinized heavily from start to finish. That's how a rumor got out that Captain Marvel was originally suppose to show up at the end of Avengers: Age of Ultron as part of the new Avengers team. Marvel Studios president Kevin Feige admitted she was part of one early plan during a Q&A about the DVD/Blu-Ray release of the movie.
"You may be alluding to a rumor about Captain Marvel showing up," Feige said with a chuckle when asked cagily about how that final team evolved throughout production. "In one draft, we had her in there. But it didn't seem appropriate to have this new person coming out of nowhere at the end of this story. It would've been a disservice to her; by the time this movie was coming out, people already knew that was coming anyway."
The final scene includes Falcon, War Machine, Vision, and Scarlet Witch as a new team for Captain America and Black Widow to train to work together as a team. Captain Marvel gets her own movie on November 2, 2018, smack in the middle between the releases of Avengers Infinity War parts 1 and 2.