Project P.E.G.A.S.U.S.

"A prospectus outlining new budgetary allocations will arrive shortly. In keeping with the agency's mandate, the majority of funding, equipment and manpower will be dedicated to analysis of the Tesseract, coded as Project P.E.G.A.S.U.S."

- The World Security Council member to Nick Fury

Project P.E.G.A.S.U.S. was the name of S.H.I.E.L.D.'s secret operation of studying the Tesseract. The studying was done in the top secret subterranean research facility located in an unspecified location in the Mojave Desert. The facility was run by S.H.I.E.L.D.'s director Nick Fury.

History
"Tap the Oracle grid. I need some things out of storage. Give me everything from Projects P.E.G.A.S.U.S., E.X.O.D.U.S. and G.O.L.I.A.T.H."

- Tony Stark to J.A.R.V.I.S. Project P.E.G.A.S.U.S. began on the orders of the World Security Council. It was formed to investigate phenomena beyond the range of conventional scientific understanding. S.H.I.E.L.D. and NASA provided scientific expertise to the project, and due to the highly sensitive nature of the research conducted there, S.H.I.E.L.D. also provided its security force, including one of S.H.I.E.L.D.'s best operatives, Clint Barton.

Project P.E.G.A.S.U.S. played host to the Tesseract for many years, its scientists completely baffled by the object. By the early 21st century, they had determined that it was an incredible source of energy, but they had found no way to tap it. This changed when S.H.I.E.L.D. found Culver University Professor Erik Selvig, and brought him in to investigate the object. Upon seeing it he readily agreed to probe deeper, although unbeknownst to everyone at the time he was also being influenced by Loki.

Eventually, Selvig came to a rudimentary understanding of the Tesseract's capabilities; although he was taken quite by surprise when it began to exhibit a curious energy build-up. Project P.E.G.A.S.U.S. was hastily evacuated, but not before Loki himself appeared, apparently having triggered the Tesseract remotely to open a portal for him to reach Earth. In the confusion, Loki made his escape, but the unrestrained energies released from his transit finally erupted to consume the entirety of the Project P.E.G.A.S.U.S. facility, leaving a vast crater in its wake. The final death toll measured in the dozens.

Project P.E.G.A.S.U.S. effectively ended when Thor took the Tesseract back to Asgard. S.H.I.E.L.D. covered any traces of the Project.

Trivia

 * In the comics, P.E.G.A.S.U.S. stands for Potential Energy Group/Alternate Sources/United States.
 * The term "Project P.E.G.A.S.U.S." also appears in Iron Man 2 when Tony Stark is unloading equipment during the montage that depicts him preparing to create a new element. The term is printed on a crate that Stark is unstrapping at one point. It's unclear exactly why that term is used on any of the crates that Stark's unpacking but one could assume that it's because some of the equipment that S.H.I.E.L.D. provided Tony Stark to cure his palladium poisoning came from Project P.E.G.A.S.U.S. labs. This might make sense in a way considering there have been certain links between the new element Stark created and the attempts to unlock the Tesseract's full potential.
 * Project P.E.G.A.S.U.S. was mentioned by Skye in the first episode of Agents of S.H.I.E.L.D. when suggesting moments when S.H.I.E.L.D. had covered things up.
 * In the non-canon video game Captain America: The Winter Soldier - The Official Game, R.A.I.D. attack Project P.E.G.A.S.U.S. and steal three nuclear warheads powered by Iso-8, each powerful enough to destroy an entire city.