She never made it through the first dungeon. Got caught in the cross fire of a poison dart trap, and never moved. Left her for dead. A few months (of Skyrim time) later, I got married to Ysolda, and returning to my house on my wedding night, I discovered Lydia lying dead, naked, on my bedroom floor.
I took it as a warning that my new wife did not approve of me selecting female companions to adventure with. The body disappeared a couple weeks later.