In Captain Marvel Adventures #144 we learn that Shazam wears a robe of immortality that protects him from harm. Unfortunately for Shazam, Sivana learns of this robe and takes it from him while he sleeps. Sivana let's us know that without the robe, Shazam is "as helpless as a baby!"
Sivana's scheme is foiled by Billy Batson and the robe of immortality is returned to Shazam just in the nick of time! And now we know the secret to Shazam's immortality - his magical, powerful robe!