|Robert Preston (1918 - 1987)|
|Beau Geste (1939) [Digby Geste]: Shot to death by Arab soldiers in the desert.
Union Pacific (1939) [Dick Allen]: Shot by Brian Donlevy; he dies in Joel McCrea's arms shortly afterwards. (Thanks to Cindy)
North West Mounted Police (The Scarlet Riders) (1940) [Ronnie Logan]: Shot to death by a Metis warrior (I don't know whether by arrow or gun) while Robert and Gary Cooper are riding away. (I haven't seen this movie myself, but have read the plot synopsis in the book The Fifty Worst Films of All Time.)
Reap the Wild Wind (1942) [Dan Cutler]: Shot to death by his brother (Raymond Massey).
The Sundowners (Thunder in the Dust) (1950) [James 'Kid Wichita' Cloud]: Shot in the chest by Chill Wills when Robert turns his gun on John Drew Barrymore; he dies in Chill's arms shortly afterwards while talking to John Drew.