How Does Missandei Die in Game of Thrones? Dies in: Episode 4, "The Last of the Starks" How she goes out: After being captured by Euron, Cersei chains Missandei up and has her beheaded in front of Daenerys and Greyworm. It's a bitter death that only serves to move Dany further in the direction of becoming the Mad Queen. Missandei deserved better. Image Source: HBO