That is what they do normally. Where I used to live they died back. Now I have one that blooms continuously until frost. I didn't save the tag, so don't know the name of it, but it looks just like the other ones I had.
It is planted alongside the house, facing NE.

My bleeding hearts are dicentra spectabilis. I have a red and a white variety, both planted this summer. Neither have died back yet to my surprise! They are in moist clay under a large tree canopy and they have barely yellowed. Our summer has been fairly mild though. I think the shade and the moisture keep them green.

But my neighbors have a specimen in their front yard that is heavily mulched and near the street. It is yellow and terrible looking- just too exposed I think.

Mine always die back once the heat really sets in. They come back just as big and beautiful the next year. I just make sure there are hosta and ferns to fill in the bare spots. I doubt you did anything. I have mine in almost full shade to help them last as long as possible.

Phew! Thank you - I was hoping it was something along those lines. It looks like perhaps a little too much afternoon sun and I have it in sandy soil, so perhaps not moist enough.

Curious, how do you propagate Bleeding Heart? Do cuttings work?

Yes, cuttings in early spring, as the new shoots emerge do work. They typically include a small part of the woody crown as a "heel".

Root cuttings are also possible.