
The Thunderbolts* post-credits scene just did something that hasn't been done in the MCU since the beginning of Phase 5, also meaning that there have been four films since this particular event happened. Thunderbolts*' post-credits scene has sent audiences into a frenzy due to its tie-ins to future MCU films.
Thunderbolts* director Jake Schreier recently confirmed that he did not direct the film's post-credits scene despite directing the film. Instead, Joe and Anthony Russo were the ones behind the camera. This means that Thunderbolts* was the first film since Ant-Man and The Wasp: Quantumania to feature a post-credits scene directed by someone different than the person who directed the movie, breaking a four-movie streak in the MCU.

Schreier also disclosed that the Thunderbolts* post-credits scene was actually also a scene from Avengers: Doomsday. That cannot be confirmed until Doomsday is released, but if it is true, it would also make it the first film to feature a post-credit scene that is a scene from a different project since Ant-Man and The Wasp: Quantumania.
Sentry actor Lewis Pullman also revealed that the scene was from Doomsday, increasing the chances of that being true.
In total, only nine films in the entirety of the MCU have had post-credits scenes directed by different people than the film's directors.
Every MCU Post-Credits Scene That Was Helmed by a Different Director Than the Film
Iron Man 2 (Kenneth Branagh)

Iron Man 2 was directed by Jon Favreau, but its post-credits scene was directed by Kenneth Branagh, the director of Thor. The scene also acted as a scene from Thor.
Thor (Joss Whedon)

Kenneth Branagh directed Thor, but the film's post-credits scene was helmed by Joss Whedon, who used it to transition into The Avengers (also directed by Whedon).
Captain America: The First Avenger (Joss Whedon)

Like Thor, Captain America: The First Avenger featured a post-credits scene directed by Joss Whedon, even though Whedon did not direct The First Avenger.
Thor: The Dark World (James Gunn)

Thor: The Dark World's post-credits scene was directed by James Gunn to bridge the film with Guardians of the Galaxy. It featured the collector receiving one of the five Infinity Stones.
Captain America: The Winter Soldier (Joss Whedon)

Captain America: The Winter Soldier's post-credits scene was also directed by Joss Whedon, connecting the film to Avengers: Age of Ultron since it introduced Wanda and Pietro Maximoff.
Ant-Man (Joe and Anthony Russo)

Joe and Anthony Russo directed Ant-Man's post-credits scene since it was taken straight out of Captain America: Civil War, a film they directed.
Doctor Strange (Taika Waititi)

Thor: Ragnarok director Taika Waititi directed the Doctor Strange post-credits scene that was from Ragnarok and featured Strange speaking with Thor.
Captain Marvel (Joe and Anthony Russo)

Since Captain Marvel's post-credits scene directly tied into Avengers: Endgame by featuring Chris Evans' Steve Rogers, Scarlett Johansson's Natasha Romanoff (find out if Johansson will ever return to the MCU here), Don Cheadle's Rhodey, and Mark Ruffalo's Bruce Banner, it was directed by Joe and Anthony Russo (the directors of Endgame).
Ant-Man and The Wasp: Quantumania (Kasra Farahani)

The post-credits scene from Ant-Man and The Wasp: Quantumania that featured Jonathan Majors as Victor Timely was directed by Kasra Farahani since it was a scene from Loki Season 2, Episode 3 (an episode Farahani directed).