John the Baptist, whose ministry was in the valley of the Jordan River, baptized Jesus in that river. The right to baptize was the messiah's, so to explain why John was doing so he said that he was baptizing only with water but the messiah would baptize with fire.
Here's the passage from Josephus' Antiquities of the Jews Chapter 18 that explains John the Baptist's baptising of Jews and mentions his death:
"2. Now some of the Jews thought that the destruction of Herod's army came from God, and that very justly, as a punishment of what he did against John, that was called the Baptist: for Herod slew him, who was a good man, and commanded the Jews to exercise virtue, both as to righteousness towards one another, and piety towards God, and so to come to baptism; for that the washing [with water] would be acceptable to him, if they made use of it, not in order to the putting away [or the remission] of some sins [only], but for the purification of the body; supposing still that the soul was thoroughly purified beforehand by righteousness. Now when [many] others came in crowds about him, for they were very greatly moved [or pleased] by hearing his words, Herod, who feared lest the great influence John had over the people might put it into his power and inclination to raise a rebellion, (for they seemed ready to do any thing he should advise,) thought it best, by putting him to death, to prevent any mischief he might cause, and not bring himself into difficulties, by sparing a man who might make him repent of it when it would be too late. Accordingly he was sent a prisoner, out of Herod's suspicious temper, to Macherus, the castle I before mentioned, and was there put to death. Now the Jews had an opinion that the destruction of this army was sent as a punishment upon Herod, and a mark of God's displeasure to him."
John the Baptist incurred the anger of Herod Antipas or his niece Herodias, and was imprisoned. When Herodias' daughter Salome asked for the head of John the Baptist, John was executed. Here's the passage from the King James Version of the Gospel Book of Matthew:
"14:1 At that time Herod the tetrarch heard of the fame of Jesus,
14:2 And said unto his servants, This is John the Baptist; he is risen from the dead; and therefore mighty works do shew forth themselves in him.
14:3 For Herod had laid hold on John, and bound him, and put him in prison for Herodias' sake, his brother Philip's wife.
14:4 For John said unto him, It is not lawful for thee to have her.
14:5 And when he would have put him to death, he feared the multitude, because they counted him as a prophet.
14:6 But when Herod's birthday was kept, the daughter of Herodias danced before them, and pleased Herod.
14:7 Whereupon he promised with an oath to give her whatsoever she would ask.
14:8 And she, being before instructed of her mother, said, Give me here John Baptist's head in a charger.
14:9 And the king was sorry: nevertheless for the oath's sake, and them which sat with him at meat, he commanded it to be given her.
14:10 And he sent, and beheaded John in the prison.
14:11 And his head was brought in a charger, and given to the damsel: and she brought it to her mother.
14:12 And his disciples came, and took up the body, and buried it, and went and told Jesus."
KJV Matthew 14
Ancient Sources on John the Baptist: The Gospels of Matthew, Mark, Luke and John, and the Jewish historian Josephus.