I hooked up a Radeon RX 9060 XT to my Feodra KDE laptop (Yoga Pro 7 14ASP9) using a Razer Core X Chroma (40Gbps), and the performance when using the eGPU was very similar to using the Radeon 880M built into the laptop's Ryzen 9 365 APU.
So at least with my setup, performance is not great at all.
On paper, TB4 is capable of pushing 5GB/s, which is somewhere between 4x and 8x of PCIe 3.0, while a 16x PCIe 4.0 link can do ~31.5GB/s.
For numbers about all PCIe generations and lane counts, see the "History and revisions" section here: https://en.wikipedia.org/wiki/PCI_Express
Edit to add: the performance I measured is in gaming workloads, not compute
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).