One major danger is weather, especially when crossing large bodies of water. For instance, Ospreys crossing the Caribbean or the Straits of Florida can be blown off course if they fly into a strong headwind or get caught in a severe thunderstorm. Anything that slows their flight and increases the time it takes them to make the crossing could drain strength or fat reserves (their fuel) and put them at risk. Worst case, they may have to ditch into the water, or if they do make it to land somewhere, they may be too exhausted to fish to regain their strength.
Another major danger is being shot by humans. This could happen anywhere. However, birds migrating in this part of the world are particularly vulnerable when they fish in private and commercial fish farms/ponds in the Dominican Republic, Haiti or Cuba. Many of the farms are owned by local people living at or near subsistence level, who do not take kindly to anyone or anything that “steals” their fish.