Elle Magazine recently interviewed Carice van Houten, who plays Melisandre on Game of Thrones, and the publication confirmed that her character’s role is over as far as season 7 is concerned:
Melisandre leaves the seventh season having only had two brief appearances. But each will have seismic effects on Westeros. First she appeared in front of Daenerys at Dragonstone to encourage a meeting between her and Jon Snow, and hinted that Dany might in fact be the prophesied Azor Ahai, or the Prince(ss) That Was Promised—because the term is in fact gender-neutral. (Her interest in uniting the two leaders also plays into some fans’ theories that Azor Ahai may return as not one, but two or three saviors).
Tonight, she watched from a safe distance as Jon arrived at the shores of Dragonstone for the meet-cute (the bringing together of “ice and fire”) she arranged. “It’s dangerous for Melisandre because if Jon sees her, it’s the end of her,” says van Houten. When Varys tells her she’ll never be safe in Westeros, and that she should leave for good, she replies with a prophecy: “I will return, dear Spider. One last time. I have to die in this strange country. Just like you.”