While at the TVA's headquarters for "crimes against the sacred timeline," Loki is shown an orientation video narrated by the animated Miss Minutes (voiced by Tara Strong).
What Miss Minutes tells Loki essentially explains how the multiverse will be created in the MCU.
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"Long ago, there was a vast multiversal war, countless unique timelines battled each other for supremacy nearly resulting in the total destruction of, well, everything. But then, then, the all-knowing Time-Keepers emerged, bringing peace by reorganising the multiverse into a single timeline - the sacred timeline," Miss Minutes says.
The animated character then explains that the Time-Keepers "protect and preserve the proper flow of time, but sometimes people veer off the path the Time-Keepers created." These people are called variants, which is what Loki is after he veered off his own timeline by escaping in 2012.
This created a branch in the timeline that needs to be pruned, or, as Miss Minutes explains: "stepping off your path created a Nexus event, which, left unchecked, could branch off into madness, leading to another multiversal war."
A Nexus event is an incident that wasn't supposed to happen and causes a split reality, like Loki escaping from New York - one reality had Loki alive and living out unknown events, while the other reality, the main timeline, had Loki living out the events of "Thor: The Dark World," "Thor: Ragnarok," and his eventual death at the hands of Thanos in "Avengers: Endgame."
Note the use of the word "madness" in Miss Minutes' dialogue, however, which seems to directly hint to the aptly-titled "Doctor Strange" sequel "Doctor Strange in the Multiverse of Madness."
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This reveal in "Loki" tells us how we will get to that madness: a Nexus event will at some point happen, likely in the "Loki" series, that causes numeral realities and therefore the multiverse to be created.
It's also worth noting that "WandaVision" referenced the Nexus event, with one of the fake commercials in the show promoting "anti-depressants" called Nexus. The narrator in the commercial says that the drug "works to anchor you back to your reality... or the reality of your choice."
Wanda Maximoff, now Scarlet Witch, will also be seen in the "Doctor Strange" sequel, so it looks like the multiverse is beginning to be tied together and could very well be introduced in the later episodes of the "Loki" series.
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