Titled 'A Funny Thing Happened on the Way to Thor's Hammer', the video sees Clark Gregg's S.H.I.E.L.D. agent Phil Coulson getting caught up in a gas station robbery.
The short is the second Marvel One-Shot after the release of 'The Consultant', which featured on the Blu-ray and DVD release of Thor.
'A Funny Thing Happened on the Way to Thor's Hammer' is one of the extra features on the DVD and Blu-ray of Captain America: The First Avenger, which is released on October 25 in the US and December 5 in the UK.
Gregg will reprise his role as Coulson in the forthcoming Marvel ensemble blockbuster The Avengers.
> Clark Gregg: 'I don't want Coulson to die in Iron Man 3'
> The Avengers: New pictures of Marvel's superhero team in action
Watch The Avengers trailer below: