The head of embassy security attempts to go outside and reason with the militants, but he's immediately captured and taken hostage.
it says he's immediately captured and taken hostage, so he means who?
"He" here is referring to the "head of embassy security". When pronoun is used in an independent clause after a coordinating conjunction, the chances are that the antecedent of the independent clause lies in the previous clause, as in this sentence:
John was frightened by his deeds, so he (John) ran away.
Like @quetchalcoatle said, "he" is referring to "the head of embassy security".
Besides all the confusing linguistics lingo, a hint is that there are only two possible people in this sentence that it could refer to: "the head of embassy security" and the "militants". "He" will always refer to a singular person, so we know it's "the head of embassy security" because "the militants" are plural, not singular.