After finding out what happened to his girlfriend, he turned back to go see her. The Highwayman was not aware of the danger he was getting himself into. He made this dumb move to go save his girlfriend that was good because he went back to go be with his girl, but bad at the same time because he is getting into trouble.
At this point, the red-coats heard the Highwayman coming, and killed him. The Highwayman is now with Bess's spirit. Even though Bess and the highwayman are dead, their spirits come back to haunt the night and play out this scene again and again to create repetition and intensity.