In Chapter 39 of Great Expectations, what has Magwitch done by coming to England?

Magwitch will be hanged if he is caught returning to England because he was deported to Australia.

At twenty-three, Pip has already come into the mature version of his expectations, although Jaggers still has to lecture Pip about his cluelessness with money. Pip still has no idea where the money comes from, and Jaggers refuses to tell him who it is from or when he will find out his benefactor's identity. Pip does not keep track of his money and pays for things on credit instead of with the money he has.

One night, Pip is in his quarters when he is surprised by a strange, rough-looking man. Once he gets over his shock, Pip realizes the man is Magwitch, his convict. Magwitch explains all Pip's money came from him. He sends it from Australia, where he made his fortune as a sheep farmer. He couldn’t bear to be away any longer, though. At great personal risk, Magwitch traveled to England because he wanted to see what Pip had become.

It warn't easy, Pip, for me to leave them parts, nor yet it warn't safe. But I held to it, and the harder it was, the stronger I held, for I was determined, and my mind firm made up. At last I done it. Dear boy, I done it! (Chapter 39) 

Pip wants to show affection to Magwitch. To a certain extent, he does sympathize with him. The shock of the situation is too much for Pip, though. He sees all his hopes and dreams crumbling and slipping away. His money did not come from Miss Havisham, meaning he will not be a gentleman and marry Estella. 

Estella not designed for me; I only suffered in Satis House as a convenience. . . But, sharpest and deepest pain of all—it was for the convict, guilty of I knew not what crimes, and liable to be taken out of those rooms where I sat thinking, and hanged at the Old Bailey door, that I had deserted Joe (Chapter 39). 

Pip now has to protect Magwitch, which is a task he is ill-equipped for. Jaggers is not much help, because he doesn’t not want to get involved. He won’t even acknowledge that he knows what is happening. Pip may not want Magwitch there, and is mortified to be connected to him, but he also does not want him to be hanged.