SPOILER ALERT! If you haven't watched the film, do not proceed.
Over the last decade, instead of shutting the door when the action stopped, Marvel has made an institution of post-credit scenes.
They build anticipation for future events to come. I mean, they set up Thanos through the sheer force of post and mid-credit scenes stretched over 10 long years. So by the time he arrived, you knew what his purpose was.
Captain Marvel's mid and post-credit scenes are not different.
At the end of Infinity War, Nick Fury tries to reach Captain Marvel before disintegrating. Captain Marvel's mid-credits scene takes place after a relatively short time after the events of Infinity War.
Captain America and the rest of the Avengers, excluding Thor are seen coming to grips with what Thanos did and mourning the aftermath.
They have retrieved Nick Fury's pager and have been monitoring it to see what it'll do. When Rhodey tells them that it has stopped doing whatever the hell it was doing, they try to figure out how to fix it.
Turns out that it had stopped sending the signal because Captain Marvel had arrived.
Looking at them with a bit of confusion, she says:
This less-than-a minute scene may not seem like much but is very important as it suggests that Avengers: Endgame won't be spending a lot of time catching her up with the action but diving straight into it.
Fans have been speculating that she would be making a dramatic arrival during a fight sequence. MCU fans have also be a apprehensive about the new kid in town overshadowing a decade of established stories.
Make no mistake, the overshadowing part is still possible but what this scene suggests is that she is likely to quietly integrate with the group in order to defeat Thanos.
There's also a chance that this scene would take place later in the film as was the case in Ant-Man's post-credit scene for Civil War. The scene where Cap and Falcon are confronting Bucky and asking him if he remembers anything was somewhere in the middle of the film.
So, I guess we will find that out in a month!