Marc Spector's past was beautifully depicted in Moon Knight's fifth episode. The anime brilliantly conveyed his pain as well as the causes of his transformation into Moon Knight and the development of Steven's personality. Moon Knight has left us in a mess and with more questions in our heads after a very painful episode. We saw Marc wind up in a Mental Asylum in last week's episode, but this week it's revealed to be the afterlife.
Marc and Steven are in the afterlife with the Egyptian Goddess Tawaret, and the episode continues changing back and forth between that and their past. Marc's terrible background and poor connection with his parents are detailed here. The episode also does a good job of getting people eager for the finale since we'll finally get to see Marc in action, even if it does make us wonder what will happen to Steven.
Marc couldn't go back to that existence after revealing to Steven that once their mother died, both of their lives began seeping into each other. Marc, consumed by the guilt of his past, gave Steven all power for the time being and allowed them to continue till the last few days. Steven reassured Marc that his brother's death was not his fault, and he assisted him in coming to terms with it. When they arrive at the Gates of Osiris, Tawaret discloses that their souls have not yet been balanced, and that the unbalanced souls of Duat will now feed off of them. They engage into a brief brawl with Marc and Steven. Steven joins the battle in order to assist Marc and is able to retain his own.
In Jeff Lemire's Moon Knight campaign, the Asylum was a mental institution set up for Marc Spector so Khonshu could further influence him. Of course, Marc breaks free from Khonshu's grip in that comic, and he even interacts with Steven and Jake Lockley in person.
Because Steven is basically Marc's personality, we may anticipate him to resurrect rather than die. Steven must be well, and we may anticipate Marc to return as long as his physical body is intact.
It remains to be seen if it will appear in the following episode or in another series. We can even anticipate Steven to remain dead if the showrunners are brave. This might indicate that Steven is no longer a Marc personality, and we may not see him again in the future. There's also the fact that Jake Lockley's identity is still unknown. We've seen him mentioned in the programme, but whether he'll turn up here or not is still unknown.