Due to previews and credits, we knew that Missy and Clara couldn't have been killed by the Daleks, we just didn't know how they escaped, or for that matter how Missy escaped the Cybermen at the end of "Death in Heaven". Turns out it was the same trick, and the Doctor created the trick sometime ago. The energy from the death ray is used to power their Vortex Manipulators and transport them to safety.
Now that they're safe they need to get back into the city of Skaro and rescue The Doctor. They sneak into the sewers/graveyard of the Daleks.Clara discover that the Doctor is alive and looking for her.
A Dalek comes to "Exterminate!" Clara, and Missy manages to kill it. Then Missy convinces Clara to get in the Dalek and use it like a Trojan Horse. Davros convinces the Doctor that he's dying and needs his help.
Of course it's all an elaborate trap to gain the Doctor's regeneration energy. A trap that backfires and gives life to the nearly dead Daleks in the sewers and they attack, allowing the Doctor and Missy to escape and run into the Dalek that Clara is in. Because of the limited interface Clara can't communicate with the Doctor. Until it asks for mercy, and the Doctor is perplexed. The Doctor sees who the real enemy is and rescues Clara back to the TARDIS, which was dispersed in the very room occupied by Dalek Supreme.
The Doctor returns to Skaro in the past and rescues Davros, trapped on the battlefield.
Missy: Shh Now, mommy's talking.
Clara: Why are you sharpening that stick?
Missy: Well, I’ve no idea how long we’re going to be stuck out here. Might have to go hunting.
Clara: So … why am I tied up?
Missy: In case there’s nothing to hunt.
Missy: No, he’s the Doctor. He fell into a nest of vampire monkeys. But that’s another story!
The Doctor: You really are dying, aren't you?
Davros: Do you doubt it?
The Doctor: Yes.
Davros: Then we have established one thing only.
The Doctor: What?
Davros: You are not a good Doctor.
Dalek: You are a Time Lord?
Missy: Time Lady, thank you. Some of us can afford the upgrade.
Doctor: Dalek Supreme, your sewers are revolting.
Next time on Doctor Who: Under the Lake