In Shadows Over Camelot, when does a knight die if his life points drop to zero on another player's turn?
in fact, this is a translation error in the English rules of the game.

The "at the end of your turn" part should be removed from this sentence. When you fall down to 0 Life points, you're dead immediately unless you drink from the Grail...

Here is a forum thread where Bruno Cathala brings light on the issue:
https://www.daysofwonder.com/en/msg/?th=4531

As you say, this game is unforgiving and whenever in doubt, you're pretty safe to choose the worst option ;-)