Okay, I know I’m 10 years late to the party on this one - but hear me out, because I want to offer my five cents in a tiny analysis of this scene.
I love A Game of Shadows, and I am always amazed by how even the action scenes build character and have a lot of important development and nuance spliced into them. Take the weapons factory sequence that I have gifed above, for example.
We begin, here, with the scene in which Watson saves Holmes so to speak, and at first glance you’d be forgiven for assuming Holmes is simply relieved to be saved from Moriarty’s torment - however, what he does express foremostly, is gratitude to see that Watson is safe. Watson is only in this dangerous predicament because of him.
Holmes has already tried to negotiate with Moriarty, requesting Watson to be entirely left out of the equation as he is now a married man and the partnership between them is thus dissolved - and failed, on behalf of Moriarty’s lack of empathy.
Moriarty is actively trying to target Watson in the train action sequence that occurs earlier in the film, to get to Holmes because he knows how important Watson is to him. Watson has, indeed, come to Holmes’ rescue as is seen above, but it’s the fact that Watson is alive and well that gives Holmes peace. The entire mission is, to Holmes, equal amounts about attempting to outsmart Moriarty as well doing his damndest to keep Watson safe.
We have the shoot out sequence following the rescue mission, and then comes the next four gifs. Note that Holmes has, at this point, been visciously tortured by Moriarty; suspended into the air by a giant hook dug into his shoulder/upper torso. He’s severly wounded, and we can see throughout the entire chase how he struggles to keep up. He staggers, he winces, he’s in pain and bleeding profusely.
Still, Holmes’ focus is not on what happens to him - it’s keeping Watson unscathed. Look at how Holmes actively shifts to shield Watson’s vulnerable areas with his own body, and his face with his hand. Holmes is not concerned about his own injuries, and the very real prospect that he might die - he’s trying, again, to to make sure Watson is takes as few hits as possible.
Finally, following the sequence where the gang is hunted in the woods, we have the huge explosion that sends everyone flying.
Holmes is knocked out momentarily, and what is his first reaction once he comes to? Check that Watson is alright, as well as soothing Watson’s concerns about him by reassuring him he’s fine. Later, he hands Watson the weapon as seen above to defend them both from Moran - not merely because he knows he is incapacitated and Watson is an excellent marksman - but because, as you guessed, Watson is more likely to come out on top if he has the weapon.
I sometimes hear people say RDJ is not a very good actor, because he always plays the same character - himself. But, he doesn’t. RDJ is nothing like Tony Stark, or Sherlock Holmes in this case. The nuance and sensibility he adds to his portrayal of Holmes by these tiny consistent acts of affection serve to prove as much.
Holmes is by no means a callous man, in RDJ’s iteration. He’s socially inept, he doesn’t understand society and doesn’t care much for human connections beyond his tiny circle. Moriarty has already murdered Irene Adler at this point - one of the few people whom Holmes did think fondly of - and Holmes knows Watson is going the same route unless he assures otherwise.
Holmes never forgets that this is a matter of life and death, and it is evident from early on that he is not averse to the notion that he may fail and thus meet his end - but he refuses to see Watson suffer the same fate. RDJ makes this clear in the way he constantly steps in front of Jude Law’s Watson, constantly hesitant to let him go unless he’s certain it’s a situation Watson can can handle on his own.
What I wanted to make clear is, how even in this scene that is all about action, we see how Holmes fears for Watson’s life, and how he’s desperate to prevent tragedy. This is what drives him to pull Moriarty with him into the falls of Reichenbach in the climax of the movie - Moriarty once again threatening Watson, and the fact that at the end of the day, Holmes values Watson’s life higher than his own. Holmes is, throughout the movie, time and again shown as willing to die for Watson no matter how he might downplay it. Irene’s death has hit him hard and made him utterly fixated on saving Watson.
Add on top of that the fact that, whether you see it as brotherly or something more, RDJ is phenomenal at portraying Holmes’ tangible affection for Watson. You feel it throughout the film, and moments such as the ones above contribute to showing us why, and how deep that love truly goes.
I just think this movie is criminally underrated, and RDJ gets way less credit than he deserves for the work he puts in. Not to speak of Jude Law, but let’s save that for another day. If you haven’t seen the movie, either in a while or at all, go watch it. Now.