After Joe “discovers” that Rhys is the Eat the Rich Killer, he’s drawn further into his web. In season 4, episode 7, Rhys tasks Joe with finding someone to frame for the murders, and reveals that he kidnapped Marienne after Joe made sure she got on to the train to Paris. Rhys tells Joe he has to murder Kate’s father, Tom Lockwood, in order to save Marienne. However, Tom reveals that he knows Joe’s real identity, and orders him to kill Rhys.
With Tom’s help, Joe finds Rhys’ country home and ambushes him. Joe goes on to torture Rhys to try and learn Marienne’s location, and ends up killing him. It’s then that Joe realizes that he’s been hallucinating a version of Rhys the entire time. He’s also just killed the real Rhys Montrose, who has no idea who Joe is. (Still confused? We explain it all here.)