Though Captain Marvel will NOT appear in “Avengers: Age of Ultron,” it seems that director Joss Whedon actually filmed “plate shots” to introduce her in the film at one point.
Ultimately though, the shots were used by Elizabeth Olsen’s Scarlet Witch. Here’s Marvel’s Kevin Feige explaining – with MINOR SPOILERS – to Collider what happened:
“The way we reveal Scarlet Witch [in costume] at the end of the movie? Those were Captain Marvel plate shots. Joss said, ‘We’ll cast her later!’ And I said, ‘Yeah Joss, we’ll cast her later.’ [Whispers to an invisible associate who isn’t Joss] ‘We’re not putting her in there!’. Finally Joss was like ‘Let’s use those plates to let Scarlet Witch fly into frame, give her a big entrance?’ And that makes sense – she’s come to their side, and she deserves the cool intro, which will feed into another movie we start shooting in a few weeks.”
Scarlet Witch is expected to appear in the upcoming “Captain America: Civil War” which begins shooting soon in Atlanta.