In an interview with Jaimie Alexander a.k.a Lady Sif with LA Times told that her character has more appearances in Thor: Ragnarok.
“There’s a lot of great stuff they’ve peppered in through Agents Of S.H.I.E.L.D., The Avengers [and] Captain [America: Civil War] will have some stuff,” Alexander tells the newspaper’s Hero Complex blog. “There’s just all kind of Easter eggs and hints, if you’re really paying attention. They’re so good at interweaving everything throughout those films.”
Now based on the S.H.I.E.L.D. series so far we know the Lady Sif came down to earth to hunt Lorelei; an Asgardian sorceress – whose power only work over men. She manage to capture Lorelei and return back to Asgard. Just when we thought it’s over, Heimdall instructed Lady Sif to stop a Kree who is currently residing on earth. However, the Kree named Vin-Tak being a Kree retaliated back and this resulted her losing her memory.
She regain her memory ofcourse but some where in between, we believe that the good Captain and the Lady cross path. As some news has been surfing around that Captain America: Civil War to cross path with Thor: Ragnarok. Could she be the reason? We will update you more soon.