Happened to me in the latest weekend challenge. Joined a G/W/R match midway in progress through wave 3. The very first thing I saw after the loading screen was my character being insta-killed by a Banshee. I decided to just exit and try joining another match.
Despite the ridiculous start, it ended up being a really good match. When I joined, there was only me and one other, and it looked like someone else quit as soon as I joined. So I spawn into grenade hell and the other guy is there too, so we both die. I gel and ArsenalofRageRocket everything in my sight so we get through wave 1. At this point, I've use all but two rockets and have four medigel remaining.