Borderlands the pre-sequel takes place in between borderlands 1 and borderlands 2 to explain jack's rise to power. The only things that take place after borderlands 2 are the cutscenes at the very beginning and very end of the game, where Athena is lilith's prisoner
After the events of borderlands 1 when you free Athena, she goes into handsome jack's employ for the events of the pre-sequel, which is why she is held prisoner by Lilith in the cutscenes, as they end up as enemies near the end of the pre-sequel
You can see when she is captured by the borderlands 1 vault hunters in the tales from the borderlands series