Yoo Oh Sung didn't die after getting shot by Lee Joon Ki and survived.
On the 15th episode of KBS 2TV Wednesday/Thursday "Joseon Shooter" broadcast on August 13th, Choi Won Shin (played by Yoo Oh Sung)'s survival was confirmed.
On this day, Choi Won Shin was shot by a gun of Park Yoon Kang (played by Lee Joon Ki) and fell off the cliff. In the end, Park Yoon Kang killed the enemy Choi Won Shin who had killed his father Park Jin Han (played by Choi Jae Sung) but she was in pain and was torn.
Choi Won Shin was upset at the fact that his daughter Choi Hye Won (played by Jun Hye Bin) killed Park Yoon Kang's father and started a plan of revenge towards Park Yoon kang. However, Choi Won Shin was alive and well. It turns out that he was wearing armor underneath even though he had a white t-shirt wearing on top. So though he was injured, there was no effect on his life.
Meanwhile, "The Joseon Shooter" is a romance action drama about Park Yoon Kang becoming a shooter. It features Yoo Oh Sung, Lee Joon Ki, Nam Sang Mi, Jun Hye Bin, and Han Joo Wan.