Brunnhilde was once a mortal and a feared warrior princess about a million years in the past, but after Earth was conquered by Odin, she was transformed into the very first Valkyrie and the leader of the Valkyrie. She primarily assists Thor in protecting Asgard, though she has travelled to Earth on occasion to aid Doctor Strange, Hulk and Silver Surfer, becoming a member of the superhero team The Defenders.
Marvel Cinematic Universe
In the MCU, Brunnhilde was one of the Valkyries of Asgard who stopped Hela from escaping her prison in Hel. However, the Goddess of Death slew all of Brunnhilde's fellow Valkyries, including her girlfriend, who died in her arms. Tortured by these memories, Valkyrie put herself into self exile on the planet of Sakaar and became a bounty hunter for the Grandmaster. She later befriended the Hulk (who was a gladiator for the Grandmaster) and after that Thor (who she had initially sold to Grandmaster) then joined the Revengers (Her, Thor, Loki, and Hulk) whom sought to stop Hela's attempt to conquer Asgard.