What happens to Mario when he dies?

Anyone denizen of the Western world that was alive anytime between the early 80’s to now is likely familiar with the Super Mario Bros. As an extension of that, they are probably familiar with the way in which he dies when struck by an enemy. He folds his hands, shimmies up into the air, and disappears off the bottom of the screen only to be reincarnated assuming he has some lives remaining?

So does Mario get to keep his original body when reincarnated? He goes down below the screen when he dies, so does that mean he goes to Hell? Is each incarnation of Mario a separate entity with one singular goal: to stomp on mutated mushrooms and bang a bitchy princess? Does this say anything about human nature?