Valkyrie is a fictional superhero appearing in comic books published by Marvel Comics. She has also appeared in a number of films taking place in the Marvel-verse, most recently in Avengers: Endgame (2019) and Thor: Love and Thunder (2022).

Valkyrie was selected by Odin to lead his personal unit of shield-maidens and is renowned for her prowess in battle. 

In the comic books, Valkyrie is clearly bi having had relationships with both men and women, most notably archeologist Annabelle Riggs.

Valkyrie and Annabelle kiss while in the middle of a battle field surrounded by mystical forms.
Annabelle Riggs and Valkyrie

Tessa Thompson has been very open about the fact that she considers Valkyrie to be bi and is playing her that way in the Marvel movies. In a 2019 interview with Variety, she said, 

In the canon, [Valkyrie] is bisexual. You see her with women and men, so that was my intention in playing her. Obviously, at the forefront of most of these stories is not typically their romantic life. They have big stakes, like saving the world, so that tends to sort of trump.[1]

In the same interview, she also comments on online speculation about Captain Marvel, Valkyrie, and Thor. 

I hear on the Internet there’s been a lot of triangular conversations around Captain Marvel, Valkyrie, and Thor, and I think a communal spoon — just a spoon between friends that are hard-working would be a nice thing...
It could be polyamorous, why not? A throuple. With Thor in the baby spoon. It’s like there’s Valkyrie, Captain Marvel, and then whoever’s sort of holding him, is what I’m thinking.
Valkyrie walking confidently in the middle of the battlefield while there are colorful lights and explosions around her.