Sergio (spoiler)

He survived. When Bluebeard discovers that Sergio killed the dogs but Sergio's not there, he finds a trail of blood. Sergio got away but you don't know if he survived at that point. He was probably badly hurt and possibly dying because after he killed the dogs he didn't go to the mansion to save his friend Anne.

At the end of the movie, you find out that Sergio survived. After Anne looks upon the dead body of her husband in the church, she turns around to leave. Sergio is there with his arm in a sling. She takes his hand and they leave. The man who killed Bluebeard and saved Anne ("the Violinist"), stands up and follows them.

A few things are implied here. All the soldiers in attendance at the funeral imply that Bluebeard was not dishonored in death. The key that Anne wears on her necklace is a symbol of the secret that Anne kept. As his widow, she received all his wealth. With Sergio and "the Violinist" there at the end with Anne, she probably took good care of the two men who were responsible for her being alive and knew the secret as well.

The rise of the Nazis was a backdrop of the film. I think the last shot of the three of them walking out of the church filled with soldiers was also a symbol of the three of them getting the hell out of the growing storm and going off to America.