In the episode 'The Pointy End' (Season 1 Episode 8) when Arya runs from the Lannister guards you hear the sound of a sword being dropped (around 4:56):
After that neither Syrio or Ser Meryn Trant is never mentioned or seen in the show again, except when Arya mentions to the Hound that Ser Meryn Trant killed Syrio.
Is there any mention in the books that Syrio actually dies?