It is in some cases, for example, DCMA and copyright that make it illegal to copy digital goods, the topic of this thread.
But as an aside, laws are (generally) based on ethics, ethics are not based on laws, so even though it is illegal, it doesn’t conclude anything about the ethics of a situation.
There are many arguments for why piracy is unethical, but the simplest might be using Kant’s categorical imperative “a universal ethical principle stating that one should always respect the humanity in others, and that one should only act in accordance with rules that could hold for everyone” [1].
So could piracy hold for everyone? If everyone pirated Marvel movies then Marvel would not be able to make $100+M movies and these movies would not exist, which is a contradiction. Therefore piracy violates Kant’s categorical imperative, therefore piracy is unethical.