The main characters in Thunderbolts* have complex and troubled pasts that deeply influence their motivations. For example, Bob, one of the characters, has a history of childhood trauma and episodes linked to his father's abuse, which are connected to his powers and psychological state. The film also shows frozen shadows of the first Ox group texts, hinting at past events and experiments related to Project Century. Yolena and Bob share a tethered connection through the void, which is a significant element in their relationship and the story's progression.

Thunderbolts* explores the psychological depth of its characters, portraying therapy as a sign of strength and delving into the mental and emotional challenges they face. Bob's internal struggles are visualized through scenes in his 'void shame rooms,' and the film implies that his void powers and psychological episodes have murky origins tied to his past trauma. The characters confront their darkest corners, making the story raw and human rather than relying solely on action.

The 'void' is a central element in Thunderbolts*, representing both a power and a psychological space. Bob's void is never fully extracted, which creates a tether between him and Yolena, symbolizing their intertwined fates. The void also contains remnants of past events, such as the frozen shadows of the first Ox group texts. It serves as a backdrop for key moments, including Bob's attic scenes and his internal battles, influencing the plot and character relationships.

The action in Thunderbolts* is crafted to be practical and character-driven rather than relying on excessive camera moves or CGI. For instance, Florence Pugh's character performs a stunt descending from the second tallest building in the world, emphasizing realism and the character's commitment. The filmmakers aimed to give the action more weight and surprise, focusing on how it reveals character traits and advances the story rather than just spectacle.

In Thunderbolts*, a group of supervillains is recruited by the government to undertake dangerous missions. This setup forces the characters to confront their pasts and work together despite their differences. The recruitment highlights themes of redemption, moral ambiguity, and the complexity of antiheroes operating in a world where traditional heroes are absent. It sets the stage for the political and psychological drama that unfolds throughout the film.