He is attacked by Voldemort in the skies over Surrey during the Battle of the Seven Potters. Mundungus Fletcher, who is riding with Moody, panics and Disapparates, leaving Mad-Eye vulnerable. Voldemort’s Killing Curse hits Moody and his body falls from his broom.
Later that night, when the battle is over, members of the Order go searching for his body but can’t find it. Apparently the Death Eaters recover it since Mad-Eye’s magical eye is found months later attached to the door of Umbridge’s office in the Ministry of Magic (DH13).