I really love the way they seamlessly made Natasha represent for the viewer the in between of what the Winter Soldier and Captain America are. Where Captain America and Winter Soldier are both extremes on opposite sides, Natasha is caught between the two. In her past, she had been very close to what the Winter Soldier was. And for some time since then she believed herself to be on the straight and narrow. Maybe not as good of a person as Captain America in her eyes, but at the very least doing work for SHIELD that was equal to Captain America and his mission. She felt she had made her choice and walked away from being a tool and a machine for others.
Then she finds out so much of it was a lie. That despite her good intentions, she really just ended up doing the same thing she did before; just under a new name and for a new organization. She followed orders without question, because that is what a good soldier does and exactly what she was trained to do. It’s also exactly what SHIELD wanted from her.
In the car scene where she and Steve discuss relationships and where they fit in the job, you can see her struggle as the words she says (like a memorized handbook guided by distrust and secret organization rules) butt heads with what she is actually feeling. Steve is her friend and around her neck she wears a necklace that symbolizes her feelings for another human being.
When she finds out Nick is alive and didn’t trust her with this information, it’s another blow to her, because she realizes she isn’t as in the know or trusted as she thought. And maybe back in the day that was okay, but now, somehow, it matters. She’s changed. She isn’t the same Natasha who shot first and never even bothered to asked questions later. Suddenly, she sees in Nick and in the HYDRA operatives and in the person she used to be, what distrust and following orders can do to a person.
At the end of the movie, she says she is leaving to find a new identity, and I think she is doing that literally. Natasha has to decide who she is and where exactly she fits into the world. What is she without an organization to work for and what does she really believe in her heart? I think it’s really important that she doesn’t go with Steve or with Fury. She isn’t going to be a follower any more. This time, it’s about her.