So this is a tricky one. Since so much time travelling is going on in Endgame, we get to see multiple versions of the same character interacting with each other. One such pairing is Nebula — the newly chastened space soldier, who has had a change of heart after finding out her father, Thanos, killed her sister, Gamora, is forced to go up against her past self. That Nebula is far less understanding.
Past Nebula ends up imprisoning Regular Nebula on Thanos's ship during the former's journey to the past to retrieve the Power Stone with Rhodey. Then Past Nebula impersonates her future self and time travels forward with the rest of the Avengers in an effort to sabotage their mission to prove her worth to Thanos. When Regular Nebula travels forward in time, too, she has no choice but to kill her past self when Gamora is threatened.
So, while one (meaner) version of Nebula dies after being shot in the chest, the true version of Nebula continues on relatively unscathed (physically, at least).