So I notice a lot of people analysing this from the perspective of the movies - I just wanted to talk about the Steve/Thor friendship in the comics for a little bit. Because they’re incredible and I love them and I wish more of this was in the MCU.
Marvel has done some truly bizarre and different “elseworlds” comics that aren’t considered canon in the main universe (it’s what allows them to play around with things and get storylines involving a lot of death or unlikely relationships out of their system without it affecting the “true” canon). One of the longest-running of these was the “Ultimate” universe, which was kind of just an “everybody fucks a lot” AU.
As per the reason for their elseworlds titles, though, the Ultimates universe got really fucking dark, culminating in a comic event called Ultimatum that starts with New York suffering a cataclysm caused by Magneto that essentially turns it into a patch of ocean with a couple skyscrapers poking out of it. A lot of people died, including a whole bunch of X-Men, Johnny Storm, and, most unfortunately, Steve.
A great deal of the deaths occurred in the first initial tidal wave of water, either from being crushed, drowned or battered against things. Steve, on the other hand, died from a phenomenon called secondary drowning, where he essentially pushed his body too close to death from oxygen deprivation too many times by swimming down into the water trying to save people, and his system just shut down.
Now, something that hasn’t come up in the cinematic universe is that in a decent number of continuities, Steve is actually pagan. As much as I’m sure it annoys conservative Americans, Steve isn’t Christian – he took a long look at the world after being unfrozen, considered his faiths carefully, and chose to follow the Norse gods (presumably aided somewhat by the fact that he knows they exist, what with Thor Thoring about the place, but still).
So, those of you who know anything about Norse faith know what’s coming next – Steve died valiantly, fighting to save innocents. His soul arrives at the gates of Valhalla.
Now, in a previous storyline of Ultimates, Valkyrie (who Thor was dating at the time) had been murdered, which Thor did not take well. And as of the events of Ultimatum, he’d made a decision to fight his way into Helheim to challenge Hela for Valkyrie’s soul to return her to life. Steve essentially shows up, notices a bunch of corpses lying about the place and goes to investigate, finding Thor – and immediately just joins him in fighting Hela’s minions. He’s not really sure what’s going on or what Thor’s doing, because dying can be confusing even when it isn’t something internal like secondary drowning, but he knows Thor is his friend and that he’ll fight for whatever Thor is fighting for.
They literally battle their way through the Underworld together to face Hela, who offers Thor essentially the bargain he was expecting: she’ll release Valkyrie, in return for his soul instead. Steve immediately counter-offers his soul, because what point was there in saving Valkyrie if she’s just going to be mourning Thor, and he says they should be together. Though Thor appears to accept this logic, in the next panel we’re shown Steve and Valkyrie both waking up after long periods being dead, so Thor obviously made some secret extra bargain with Hela that Steve wasn’t privy to.
What’s amazing to me about this relationship between Steve and Thor that takes Steve’s faith into account is that you don’t often see friendships where people are fated to spend eternity together in the afterlife, rather than relationships. Steve dated the Wasp for a while in Ultimates, but with her not following the Norse faith, she would never have gone to Valhalla even if they’d spent their entire mortal lives together. (Same with Thor and Jane Foster in continuities where those two date)
But somehow between Steve and Thor there’s this unspoken agreement that whatever they do after death it will be together. Steve’s offer to sacrifice his soul for Valkyrie and Thor to be together I think can’t have been made without the understanding that both of them would eventually return to Valhalla after dying naturally and that their honour would probably compel them to seek him out in the bowels of Helheim. Thor, making his secret bargain with Hela for the opposite, must surely feel the same. There’s no way Steve isn’t fighting his way to Thor when he eventually dies again to repay him for his life.
And there’s no… recrimination about it. Nobody is saying “but Steve, if you were Christian, you could see [x girlfriend] in the afterlife instead.” Whether feasting forever in the golden halls of Valhalla, or fighting Hela’s evil minions for eternity, Steve and Thor just… intend to spend the rest of time side by side. Their friendship and understanding is literally that strong.