When Captain Henry and Glass head out to find Fitzgerald, they separate and the captain encounters Fitzgerald alone.
They both start shooting each other simultaneously, but we don't notice that the captain was shot until Glass finds him dead, with his scalp cut off.
There was a scene where Bridger asked Fitzgerald about his scalp, and he answered: "Rees took it off."
Now I'm not sure why he did the same thing to the captain. Was he lying about Rees taking it off? Was it out of anger? Or is there any other reasons I didn't notice?