Your Agent is equipped with a shield that protects him from most of the fire heading his way. You can view the status of your Agent's shield by checking the health guage at the top of the screen. Basically a green health guage indicates you have good health while a red one indicates you run the risk of dying if it is fully depleted.
What happens when you Die
Although death doesn't result in a 'game over' it will however mean the game will take away some of your Experience Orbs and make you respawn at a supply point. Depending on how may supply points you've unlocked, you may have to respawn quite a distance from where you were.
How do you Restore Health
All the time your Agent is out of harm's way their health meter will be replenishing automatically. Your Agent's shield however won't replenish which is why it is imperative that you take the fight to the enemy. Whenever you Kill enemies, regardless if it is a small grunt or a large mech your Agent will gain Experience Orbs and have some health restored to their shield. The key to being successful in Crackdown 3 is to avoid damage as much as possible while at the same time dispatching enemies effectively.