Valkyrie in the MCU is only referred to as Scrapper 142 or Valkyrie. Of course this doesn't appear to be her real name as she was a Valkyrie so it's probably an alias instead.
Thor: My God, you're a Valkyrie. I used to wanna be a Valkyrie when I was younger... until I found out that you were all women.
The official scripts for both Thor: Ragnarok and Avengers: Endgame only call her Scrapper 142 (before it's revealed she was a Valkyrie), Valkyrie or Val for short. No mention is given of her real name.
I've seen mention, such as the MCU fandom wiki page, that her real name is Brunnhilde citing back to this tweet by Tessa Thompson, the actress who plays Valkyrie.
@truthfulcomics: One of my favorite things in #ThorRagnarok is that @TessaThompson_x isn't THE Vakyrie (Brunhilde), she is A Valkyrie (a very kickass one); more than likely saved by Brunhilde's sacrifice as shown on that Flashback scene. THNX 4 respecting the source material @Marvel #Valkyrie
@TessaThompson_x: Oh. But she is THE Valkyrie. That’s why she has this sweet hashtag #TheValkyrie . And see, she looks like me.
Of course as this is the actress though it's not exactly official and the tweet isn't 100% explicit on the matter anyway so I wouldn't take it at its word. I've also seen in the past a POP Funko of Valkyrie where the description on the website mentions Brunnhilde but again this isn't exactly canon.
A common argument I've seen against her being Brunnhilde, aside from the above, is that Tessa doesn't really look like her comic counterpart (not a big deal) but one of the other Valkyrie in the flashback does. The Valkyrie who sacrifices herself for Valkyrie looks like the 616 counterpart (being blonde with platted hair).
What's more is that there was concept art for Thor: The Dark World to have Valkyrie, Brunnhilde, to appear but it was ultimately dropped. This concept art matches the 616 comics version of Brunnhilde and she does look somewhat like the one we see in the flashback scene from Thor: Ragnarok.
Is there any official confirmation of what Valkyrie's real name is? I'm looking for something from an official appearance in the MCU that I've missed, or a quote from someone more official than the actress at Marvel who may have said it, like a writer or director etc.