MacPherson is another one of the British commandos chosen for the rescue mission because Smith and British Intelligence think he's secretly a Nazi spy. Like radio man George Harrod, though, his innocence is proven... but only when one of the real spies kill him.
The group goes to a German town near the Schloss Adler and meets in an inn, where their contacts, Smith's girlfriend Mary and her "cousin," Heidi, start schmoozing it up with Gestapo officer Major von Hapen. Smith leaves to go and talk privately with the two women about their mission, tell his remaining men - MacPherson, Thomas, Berkeley, Christiansen and American lieutenant Schaffer - that none of them are to leave the inn.
After finishing his private meeting with Mary and Heidi, Smith is in on his way back to the inn when he finds a hat lying on the ground. It turns out to belong to MacPherson, who is lying nearby between some parked cars. Smith rushes to his side. MacPherson is still barely alive, but he doesn't last long, and doesn't manage to tell Smith anything at all before wordlessly expiring.
Like Harrod, his killer is never revealed, and his death is mostly offscreen. We also never learn why he left the inn, although it's theorized he observed one of the real traitors behaving suspiciously (likely he saw them tailing Smith) and got into an altercation with them.
Exactly how he was injured is not revealed, either. His head is bloodied, though, so he seems to have been bludgeoned. Upon returning to the inn, Smith doesn't reveal MacPherson's death. One of the three remaining British commandos is a Nazi spy and Smith doesn't want to reveal he's on to him, whichever one he is. Instead he simply acts as if MacPherson has simply gone missing. Thomas, Berkeley and Christiansen all deny having seen him left... but Smith doesn't believe them.