Somehow, in the aftermath of Cap 2, Bucky gets the idea that SHIELD, rather than being a sometimes morally ambiguous but well-intentioned organization with a mole problem, was more like the Villain With Good Publicity counterpart/rival of HYDRA. And he thinks that Steve and Natasha were the counterparts of the Winter Soldier - just kept on a longer leash and kept in line with misinformation and manipulation rather than brute mental and physical control. Of course, Steve and Natasha still seem to be in denial about this, but Bucky understands. Sam told Bucky all about Stockholm Syndrome and traumatic bonding when Bucky was trying to process what HYDRA did to him.

I'm okay with this being played for comedy or drama.