Don't worry, it actually happens to be one of the events most discussed in Alternate History (or History). Really, that's okay.
Now it's going to be a bit meta : the main point being not historical reality, but how it is depicted in Gospels?
Does his dead still leads to resurrection? If it's depicted as such, you'd have doctrinal differences, but I'm not too sure it would have an incidence on the development of Christianism past the Ist century.
Now if he dies, and there's no one to claim he resurrected, you probably doomed followers of the Nazarean to be at best only but one of many obscure Jewish sects if it survives at all : consequences would be really huge, properly world-shattering.