For gaming, lots of things can affect Thunderbolt eGPU performance.

First, you need to connect the display directly to the eGPU rather than to the laptop.

Second, you need to make sure you have enough VRAM to minimize texture streaming during gameplay.

Third, you'll typically see better performance in terms of higher settings/resolutions vs higher framerates at lower settings/resolutions.

Fourth, depending on your system, you may be bottlenecked by other peripherals sharing PCH lanes with the Thunderbolt connection.

Finally, depending on the Thunderbolt version, PCIe bandwidth can be significantly lower than the advertised bandwidth of the Thunderbolt link. For example, while Thunderbolt 3 advertises 40 Gbps, and typically connects via x4 PCIe 3.0 (~32 Gbps), for whatever reason it imposes a 22 Gbps cap on PCIe data over the Thunderbolt link.

Even taking all this into account, you'll still see a significant performance drop on a current-gen GPU when running over Thunderbolt, though I'd still expect a useful performance improvement over integrated graphics in most cases (though not necessarily worth the cost of the eGPU enclosure vs just buying a cheap used minitower PC on eBay and gaming on that instead of a laptop).