It looks like The Sentry could be showing up in Thunderbolts. However, the current line-up of super soldiers and agents appear to be no match for The Sentry. If he's as strong as in the comics. This difference in power level could run into some problems and some solutions that might not feel earned by the end if it isn't properly set up.
Another unbeatable threat was Thanos. Although his power level exceeded that of many Avengers, even without all the Infinity Stones in his possession, it didn't feel like a big leap in power level. This was because he was properly build up over many years, and the threats the then-current Avengers roster faced gradually build up as well. As a result, and without considering Thanos initialy won, the difference in power level didn't feel out of place.
Knowing when to run
A threat that is unbeatable is Darth Vader in Star Wars Jedi Fallen Order. And the game knows this. Darth Vader is a boss fight, but unlike other boss fights this one is almost entirely comprised of running. This feels in line with what is known about Vader, who is a juggernaut of a fighter, and so it makes sense it's a threat the hero decides to run from instead of facing head on as Vader has a much higher, and thus unbeatable, power level.
A hero that does decide to face a juggernaut of a threat head on, is Kate Bishop in Hawkeye. Even though Kingpin just ripped a door of a car, took an arrow to the chest and got hit by a car, Kate doesn't decide the best course of action might be to run away with her mother, who is now out of danger. As a result, the following fight from which Kate even manages to walk away from a threat that's a few power levels above her feels out of place.
Threat from within
A threat in the same wheelhouse as the hero is Bucky/Winter Soldier in Captain America The Winter Soldier. In the scene where they first come face-to-face, it is quickly established they are evenly matched. Bucky even gains the upperhand if Steve doesn't use his wits, and as such in direct confrontations it isn't a fight to win for Steve, but a fight to survive. And that's not even accounting for Steve holding back because Bucky is his friend.
Zemo even used this friendship to his advantage. Alone he was far below Captain America's power level, let alone that of the whole Avengers. As such, he used Bucky to frame an attack that would prompt oversight on superpowered people. The following conflict resulted in superheroes picking sides and the Avengers falling apart. Without having to fight the Avengers in combat, he still managed to take them down. So even characters with a low power level can use strategic genius to still outsmart stronger characters.
Keep the plot moving or risk losing stakes
Outside of the MCU, there are also examples of how to deal with threats. In Minority Report there isn't one singular villain that has a higher power level than the hero, but there is a constant force hunting Tom Cruise while he is also on the hunt for answers. During the movie, the story and the mechanics are fairly inconsistent, but as the story keeps moving forward without any breaks, the viewer is distracted enough not to pay attention. As such, the difference is power level is barely noted.
Lastly, there is also Quaritch in Avatar: The Way of Water. The villain is brought back through cloning and mindtransfer, which on itself already takes away any stakes as the villain can always be brought back even if he's killed again. On top of that, it's a villain who has already been defeated so shouldn't be a threat to the hero Jake. As a result, the villain doesn't feel as a threat as there are no stakes connected to it. Just as the Thunderbolts, Quaritch is no match for the stronger adversary.