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There are two ways to watch: release order (how audiences experienced them) and chronological order (MCU timeline). Release order is almost always better for first-time viewers — it preserves plot surprises and character development.
Watch in this order to understand every reference:
If you only watch the three Cap solo films, you will miss critical character moments in Avengers: Endgame. Endgame is the emotional payoff to Cap's entire arc across all three Avengers films. Start with the three solo films, then decide if you want to go deeper into Avengers films.
Pro tip: The Winter Soldier is a masterpiece and stands alone — you can watch it even without seeing The First Avenger first. But The First Avenger sets up everything about who Cap is, so watch it first for full impact.