That would depend on the nationality of the soldier / which army he fought in.

In case of a Soviet Jewish POW, it would mean death. The famous Commissar Order, i.e. the Wehrmacht order that all Policital Commissars and Jews in the Red Army were to be murdered, meant that upon capture Jews, political Commissars, members of the Communist Party of the Soviet Union and also soldiers from the Asiatic Soviet Republics were immediately separated from their fellow POWs and handed over to the nearest Einsatzgruppe for execution or executed by the Wehrmacht itself right away. This came form Nazi ideology and the nature of the war they wanted to fight in the Soviet Union, a war of annihilation. For the Nazis Bolshevism was a tool of the Jews in the struggle between Aryan and Jewish race and thus Jewish communists (really any Soviet Jews) were the most dangerous and needed to be killed right away.

The same however applies to a smaller degree also to Polish Jewish POWs, some of whom were executed right away, others immediately deported to a camp to be killed there as well as to any Jewish Partisan of either the Polish Partisans, Polish Home Army or Yugoslav Partisan forces. They too were to be executed immediately.

In case of French Jewish POWs no coherent overall policy existed though we often can see the phenomenon that they would be released from captivity and either be immediately arrested only to be deported to a concentration camp. However, this does not apply in all cases since Vichy France was at least trying to protect French Jews (albeit they did hand over non-French Jews to the Nazis rather willingly). The same can be observed with Dutch and Belgian Jewish POWs though here not many did exist mainly because the fighting between the German and their armies didn't last very long.

In case of British and American POWs, the situation is different. Throughout most of the war, American or British Jewish POWs were treated in accordance with the Geneva convention. The reason behind this was that the Nazis were very afraid of the US or British government retaliating against the German POWs they held captive or against the Germans living in these countries. Also, at least in the British case, there was hope that their government would cave at some point and killing POWs was not exactly helping that cause.

It was only towards the end of the war that Jewish POWs of the two big Western allies were separated and in case of one group even sent to a Concentration Camp. In December 1944 Himmler gave the order to separate Western Jewish POWs from the rest of the POWs from these countries, most likely in preparation for killing them or for exchanging them but the exact reasoning is unknown. The most famous case of this happening is that of Stalag IX-B. There American POWs were seperated into Jews and non-Jews (though the latter group also included people known as trouble makers). The Jews were sent to the Berga Concentration Camp in Thuringia. There the prisoners were subjected to the same conditions that were prevalent in other Concentration Camps, which lead to eight of the total of 350 prisoners being worked to death until liberation came for them.