From Wikipedia: 

As Lyra, Will, and the witches continue travelling, Serafina sends two witches ahead as scouts. Elsewhere, Ruta Skadi overhears creatures called cliff-ghasts discussing a coming war that Asriel cannot win without Æsahættr. In Cittàgazze, Mrs Coulter captures and then tortures a scout witch with a spectre to reveal Lyra's location and the prophecy that states Lyra will be the second Eve who brings a second Fall of Man. After finding the adults' campsite, Angelica and Paola leave Mary, who continues searching. Pursued by Magisterium soldiers, Lee urges Parry to flee while he fights them off. Lee is mortally wounded and summons Serafina with a cloud pine branch, but dies before she arrives. Parry summons his son, Will, through a vision. Reunited, Parry urges Will to fulfil his destiny as the knife bearer before they can return home. Parry is fatally shot, and, before dying, tells Will the angels will guide him to Asriel. In a desolate world, the angels pledge Lord Asriel their support in the coming war against the Authority. Will returns to find Lyra missing after Mrs Coulter has abducted her. On an airship, Coulter vows to protect Lyra, who appears drugged and is confined inside a trunk. In a post-credits scene, Roger and Lyra call to one another in an unknown location.