After hearing the sounds of someone crying through the garden room communication pipe (if you've seen Winchester, you know exactly what we mean with that odd collection of words), Price rushes down and pries the nails off the garden room door. There, he comes face to face with his wife, who's been deceased for several years. Until this point, we've only known about his wife through a framed photograph and the fact that he was shot in the chest and died for three minutes, and it all had to do with her somehow.
What happens next seems like a basic horror movie fight with a ghost, but it's actually a reenactment of the way they both died, once upon a time. Distraught by Price's diagnosis that she's crazy, his wife tries to end it all by shooting herself with a (Winchester) rifle. When Price reaches in to pull the gun away, she accidentally shoots him in the chest. Now even more distraught, she goes through with her original plan and pulls the trigger with the barrel pressed under her chin.
That's why Price falls back, bleeding, then later has no blood on his jacket—they were going through the motions of what had already happened. In the epilogue, we see the garden room being dismantled, because confronting that moment brought peace to Pierce's wife and let her move on, or whatever ghosts do when they're done haunting things. But was that the last time we saw this go down? No, no it wasn't.