*******POTENTIAL SPOILERS********
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There is apparently a segment where Scarlet Witch, who is working for Ultron at the time, uses her powers to make each member of the Avengers re-live some traumatic experience or brings to life some dark secret for them. You'll notice in the early trailers there is a scene of Cap in some sort of castle looking construct. That's supposedly part of SW is making him relive something from the WW II era. It wouldn't shock me if Peggy plays into that somehow.