The most reliable record is to be gained by cross-examining all the primary sources about this event and seeing where they are in unanimous agreement. This is the case when interpreting Crockett's fate at the Alamo.
The exact details of his death seem to be in dispute in a heated argument that challenges the legitimacy of several eyewitness accounts, most infamously Pena's. It is believed by tradition (or rumor) that Crockett died fighting. This could be refuted by the sources in this paper if they all agreed on how it happened.
Michael Lind of Texas A&M University has summed up this controversy in his well-written paper, "The Death of David Crockett." I would recommend a read through it as a summary does not do justice to his deduction. To summarize, there are three main sources from the Mexican Army that conflict on how Crockett was killed (because all accounts written before the story could become romanticized agree on this point.)
One of the first reports of Crockett's death was written by a Texas four months after the Alamo fell, after the Battle of San Jacinto. I quote Lind:
The first American newspaper account identifying Crockett as one of the executed prisoners appeared in a letter of July 19, 1836, written by a Texas army officer, George M. Dolson. Dolson claimed to have served the previous day, July 18, as an interpreter between Colonel James Morgan and Santa Anna's aide, Colonel Juan Almonte, one of the Mexican officers whom Morgan held prisoner on Galveston Island after the Texans routed the Mexican army and captured Santa Anna at San Jacinto. According to Dolson, "Colonel Crockett was in the rear, had his arms folded, and appeared bold as the lion as he passed my informant [Almonte]. Santa Anna's interpreter knew Colonel Crockett, and said to my informant, 'the one behind is the famous Crockett.' When brought to the presence of Santa Anna, Castrillon said to him, 'Santa Anna, the august, I deliver up to you six brave prisoners of war.' Santa Anna replied, 'Who has given you orders to take prisoners, I do not want to see those men living—shoot them.'" While this would appear to be strong corroboration, skeptics point out that Almonte's diary, found after the Battle of San Jacinto, does not mention the alleged incident in its description of the sack of the Alamo.
Pena claims that he saw Crockett executed by Santa Anna after the fort fell. In his memoir, he also claims to have witnessed Travis' death as he looked upon the wall -- on the North side. Based on when we know the fort fell and when the prisoners were executed, Pena would have us believe that he saw Travis die and then made his way to the other side of the fort to see Crockett killed. This may have been true, but because Pena's account was compiled after the story became legendary, historians do not overlook the very real possibility that Pena bent the truth to cash in on his claim to fame.
The other accounts by Santa Anna's aide, mayor Ruiz, secretary Caro, and Santa Anna's own field report all bring conflicting details to this interpretation. Regardless of what degree of authenticity each source may have, their unanimous agreement that Crockett did indeed die defending the Alamo can lead us to safely conclude that he did not escape and roam the prairies afterwards -- regardless of how romantic that idea sounds. I would strongly encourage a full read-through of this paper for a more clear view of things.