No one knows for sure what happened to the Blue Wizards, only that they went and did not return. I'll relate a few theories that I've heard...
- Saruman, who went with them, killed them to further his own power and returned himself. However I don't think this probable, as his corruption had not begun yet by that stage as far as we know.
- They were simply killed, by hostile Easterlings or brigands or something, from whom Saruman only escaped. This sounds ok.
- They became corrupt and set up cults in the East, either with the intention of bringing down the West or of simply becoming powerful themselves.
- Saruman left them there to do their job, but they were later killed.
- They did their job but it didn't have much effect. Or perhaps it did. Maybe they were a calming influence on the Easterlings, the only one there to counter Sauron's alliance with them. One would have thought though that after Sauron's downfall they would have returned to the West with the Last Ship.
There are probably more. The fact is that we don't know, and can only really guess.
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