There are so many theories surrounding what Captain Smith's final moments were it's unreal. I'll list a few:

#1. Captain Smith is last seen standing on the bridge as Titanic sinks.

#2. Captain Smith is reported by Harold Bride as jumping from the bridge into the water just as it was about to be submerged.

#3. Another passenger claims Smith said "Be British boys, be British" before going under with the ship.

#4. Captain Smith is seen handing a child to a lifeboat, and after attempting to bring him aboard the boat, he shook it off and swam a short distance before becoming still. There are several stories with Smith handing a infant child to those in a lifeboat.

#5. A passenger reports that Smith was washed off the deck of the Titanic when she lunged forward.

#6. One of the most interesting stories of what happened to Captain E. J. Smith goes was reported Captain Peter Pryal in the Baltimore, MD Press on July 20th 1912. "Captain Pryal, one of the oldest mariners in Baltimore and well known in shipping circles, who sailed with Captain Smith when he was the commander of the Majestic, made the startling statement today that he saw and talked to Captain Smith at Baltimore & St. Paul Streets. He declares he walked up to Captain Smith and said, 'Captain Smith, how are you?' Then the man answered, 'Very well, Pryal, but please don't detain me, I am on business.' He says he followed the man, saw him buy a ticket for Washington, and as he passed through the gate of the railway station he turned, recognized Pryal again, and remarked 'Be good, shipmate, until we meet again.' 'There is no possibility of my being mistaken,' said Captain Pryal, 'I have known Captain Smith too long. I would know him even without his beard. I firmly believe that he was saved and in some mysterious manner brought to this country. I am willing to swear to my statement. Many persons may think I am insane, but I have told Dr. Warfield of the occurrence and he will vouch for my sanity.' Dr. Warfield said that Captain Pryal was perfectly sane. The captain is well-to-do and is a consistent church member."

That one of course seems outragously false, since someone would have to have known Smith made it off the ship and into or "onto" a lifeboat somehow. These are just a few of the many theories that have been reported of Smith's last moments. We'll never know exactly what happend to Captain Smith...but we can always speculate eh?