In the ninth episode of the fifth season, Stannis, lost, defeated, and desperately grasping for an easy out, made a decision. At the Red Woman's behest, he burned his only daughter to death as a sacrifice to the Red God to save his army from cold and starvation.

Does Shireen Baratheon die?

Ultimately, it doesn't help. Stannis' forces desert him, his wife takes her own life, Shireen dies for no reason, and Melisandre flees from the Baratheon camp, while Stannis dies alone, executed for his many war crimes by Brienne of Tarth (Gwendoline Christie).

Does Melisandre regret killing Shireen?

After Davos realized the role that Melisandre played in Shireen's death, he exposed her and revealed the devastating truth to Jon Snow. ... What Melisandre did to Shireen was evil and unforgivable. At this point, she clearly regretted her actions, though.