Grindelwald was never depicted as having died in the movies.

Though the Dark Lord kills him in the book, in the movie, Grindelwald seems to remain alive. The last time Grindelwald is seen or mentioned is when the Dark Lord goes to him to find out where the Elder Wand is. Unlike in the book, where Grindelwald refuses to tell the Dark Lord anything, he does give the Dark Lord the information he wanted, and says it’s buried with Dumbledore.

158 INT. CELL - CONTINUOUS ACTION - NIGHT

... finds a SKELETAL FIGURE lying beneath a ragged blanket. The figure stirs, looks up, and grins with broken teeth. It is the young man -- the thief -- grown old. Grindelwald.

GRINDELWALD
Ah, Tom, I thought you would come one day. But surely you must know I no longer have what you seek...

A SHADOW -- Voldemort’s -- falls across Grindelwald.

VOLDEMORT
If not you, then who?

GRINDELWALD
You’re so innocent, Tom. Like a schoolboy. There’s so much you don’t understand...

VOLDEMORT
Tell me, Grindelwald. Tell me where to find it! Tell me who possesses it! The name, Grindelwald! The name!

GRINDELWALD
Can’t you guess, Tom? It lies with him, of course. Buried within the earth. It is he who possesses it, even in death. Your old friend and mine... Dumbledore.
_{^{- Harry Potter and the Deathly Hallows, Part One (Screenplay)}}

After that, Grindelwald isn’t mentioned again, and since the Dark Lord isn’t shown as having killed him and would have no reason to, presumably Grindelwald remained alive in Nurmengard.

In the movie, there appears to be a scene where a dark wizard comes charging through one of the castle windows during the attack on Hogwarts. The wizard is frozen for a moment and then driven back through the window to his possible death. This wizard looks like Grindelwald. The director freezes the wizard so we can clearly see him, and it looks to me to be Grindelwald, so I believe he dies at that point in the movies, while in the books, Voldemort kills him.