During The Avengers, we saw Nick Fury chatting to the World Security Council several times, a mysterious organisation fronted by shadowy individuals.
Are they the “next level”, who in effect helped assemble S.H.I.E.L.D. ?
As far as we can tell at this point, they did not help assemble SHIELD. What we do know is that SHIELD was formed out of the SSR (Strategic Scientfic Reserve) team in Captain America: The First Avenger.
After the events of Captain America: The Winter Soldier, we know that Peggy Carter was directly involved with the creation of SHIELD, and most likely included Howard Stark in the beginning.
In the Agent Carter One Shot we also see her interacting with Dum Dum Dugan, one of the Howling Commandos, so it is likely that the Howling Commandos were involved in the formation of SHIELD, which is further reinforced in Agents of Shield when the original SHIELD gadgets are bought into the show. They used to belong to Agent Tripletts grand father, a member of the Howling Commandos.
Although we do not know exactly what role the World Security Council take, I think it is safe to assume that they are like a smaller, more covert version of the UN (United Nations) that are specifically tasked with ensuring that the world is secure (hence the name). This would explain their ties to SHIELD and the fact that they appear to made up of multiple nationalities, not just Americans. This is futher backed up by the fact that they have an input into the Insight program from Captain America: The Winter Soldier, which is not only an American, but a world wide security measure. They also appear to be able to choose who is currently in charge of SHIELD, shown in The Avengers when they notify SHIELD personnel that Nick Fury is no longer in charge of SHIELD after he disobeys an order, suggesting that they may also provide funding to SHIELD, or have some form of legally recognised authority.