Captain Cold shoots Heat Wave in DC's Legends Of Tomorrow season 1 episode 7 (1x7), Marooned.
It's unclear if Leonard Snart actually killed Mick Rory, but that's what's implied. That said, knowing these shows it's very likely that Mick didn't actually died, and that even if he did, he'll be back eventually. Mick has become one of many people's favorite member of the "team", so it's very doubtful that they'll truly get rid off him.
