In this song, Howlin' Wolf sings about how he should have left his woman a long time ago, imagining how much better he would have it if he went to Mexico when he had the chance. Now, he's down here on the killing floor.
It's been speculated that the "killing floor" is a slaughterhouse, but according to Hubert Sumlin, who played guitar on the song, it has a very different meaning. Sumlin told American Blues Scene
that Wolf played the field, with several ladies in his stable. One of them, a woman named Helen, was so fed up with his philandering that she got a shotgun filled with buckshot and fired at him from a second-floor window.
So, the "killing floor" is a metaphor for depression, in Wolf's case triggered by a woman who was so mad she was literally trying to kill him.