January 1945 - Bucky falls from a train during a mission and is captured by Hydra. Iron Man was, of course, referring to the fact that a brainwashed Bucky Barnes (Sebastian Stan), acting as the Winter Soldier, murdered young Tony … ( Captain America, The First Avenger) SOURCE + Captain America, The First Avenger Original Screenplay. Steve thinks his lover is dead and will never be able to forgive himself. In the Marvel Universe, James "Bucky" Barnes died in World War II, when he fell from a rocket onto which he and Captain America jumped in order to stop it before it reached its target.

Captain America: The Winter Soldier. Captain America fell from the rocket and into the icy waters below, …

As it turned out, Bucky Barnes didn’t die, but rather he lost his arm and was in really bad shape after the train incident.