Needing sponsorship can reduce the set of opportunities available to you, but it does not make U.S. MBB recruiting pointless. The answer depends heavily on the firm's current sponsorship policy, the specific office and role, and your work-authorization timeline.
Treat immigration feasibility as an early filter rather than something to discover after months of preparation. This guide on visa barriers for international consulting candidates explains the main constraints. You should also verify current policy directly with recruiting because sponsorship rules can change.
At the same time, avoid making the strategy unnecessarily binary. If you are eligible to apply to both U.S. and home-region offices, you can build a portfolio of options. Our overview of consulting firms that sponsor H-1B visas can help you identify where to ask more specific questions.
Your candidacy still needs to be strong on the normal dimensions. Sponsorship is a constraint, not a substitute explanation for the rest of the application.