If your HP, Thirst, or Hunger meters hit 0, you will die and lose all of your Items and Equipment.
You can recover what you lost from your body. Your body will be in the spot you died in - if this was outside of your Shelter, you would need to find your body before the location resets. Once the location resets, your old body will disappear.
You will have the Respawn option, which will respawn you in your Shelter. You can also Revive by using Sapphires. Reviving will revive you where you died, with all of your Inventory and Equipment intact.
Both respawning and reviving will restore your HP, Thirst, and Hunger. Curse Points will also be cleansed.