On Tuesday's episode of NCIS: New Orleans, the NOLA gang has a mystery on its hands: How did a missing soldier, who was captured in Afghanistan years ago, turn up on a train in the Big Easy?

As Sebastian (Rob Kerkovich) explains to the rest of the team, the fingerprints of a train passenger who saved the life of a Navy lieutenant commander and then disappeared match those of the MIA soldier.

Pride (Scott Bakula) sums up what everyone is thinking about the Good Samaritan: "How the hell did he wind up on a train in New Orleans?"

Check out an exclusive sneak peek of the episode in the video above.

NCIS: New Orleans airs Tuesdays at 10/9c on CBS.

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VIDEO: How well does the NCIS: New Orleans cast know the Big Easy?