Highlander: Unholy Alliance (1994)

Immortal Xavier St. Cloud has mortals shoot his Immortal opponents so he can take their heads. Joe tells Duncan about the killings to warn him, and soon St. Cloud and his henchmen show up at the dojo. Duncan discovers the supposedly-dead Horton is working with St. Cloud, and Joe knew that Horton was alive. Meanwhile, an army intelligence officer named Renee Delaney gets involved while she is investigating one of the men working with St. Cloud.