If you find a truly immortal companion, you will know it because their health never goes down. I encountered one of these who was of the furry, four-legged variety.
1. Essential targets cannot die like usual, they fall to they're knees and get back up 10 seconds or so later even if in combat. However any damage caused to an essential target by the PC while they are kneeling (low HP) WILL KILL THEM for good.
2. Non-essential targets die when their HP reaches 0 no matter who does the damage.
I have also encountered these two types of NPCs; however, however, I would not classify the first as essential. And these NPCs can be killed when they are down by creatures or other NPCs (not only susceptible to friendly fire). My companion was killed by a troll when he had fallen to his knees.
There are a few other NPCs in this game that are truly essential, meaning it is impossible for them to be killed, and in at least one case, it looks like he does not take any damage whatsoever.