Caravaggio is not a painter: he is a prophet. Caravaggio doesn't show what you can see, he shows what nobody can see. Caravaggio doesn't see, he penetrates. Caravaggio's painting are not about religion, they are a religion. Caravaggio does not paint, he reveals. And these are merely some characteristics of a painter that has gone beyond the mere world of things and who found ways to show things, while at the same time showing what's behind things. He is Caravaggio. That's all.
Look at this painting: the martyrdom of St. Ursula. Perhaps the last painting Caravaggio painted, it is the extreme synthesis of all what Caravaggio had painted before. This is the ultimate epiphany of the divinity, shown as the final crowning of a sequence of images that followed Caravaggio's own existence on this world.
The painting shows the death of Ursula, British princess, who refused to marry Attila, king of the Huns, who in revenge killed her and all her retinue of 11,000 virgins. A naive story for our modern tastes but not for Caravaggio, who has seen the deep meaning of the myth. The divine spirit can take a human form; can step into the material world for a short while. Then, it has to return. And returning, for the divine being, means death for its human form but, for the divine form, it is resurrection.
It is the basis of the Christian myth, but it goes much deeper and much earlier; it is the most ancient myth of all: the sacrificial myth that goes to the very center of the interaction of the divine and the human spheres.
And that's what Caravaggio is showing to us. Ursula, hit by an arrow, is the human form of the divine spirit. She had already appeared in an earlier painting by Caravaggio; in his "Our Lady of the Pilgrims".
Perhaps the same woman, surely the same spiritual entity. Caravaggio has been starting with this divine epiphany to end it with the one of Ursula. It is a complete universal cycle in two paintings: the same creature that has appeared for a brief existence on the lower sphere, to leave the material world in a spiritual apotheosis, later on.
Only Caravaggio could do it.