The context comes from the movie "Killer's Kiss" by Stanley Kubrick
"Who are those people in that picture over there? And how'd you ever get messed up with that dance hall guy?"
The character speaking refers to a situation that happened before. He saw the woman he's talking to with a guy from a dance hall who was accosting her and even trying to physically harm her.
I provided research in the bottom but I doubt it will be the correct definition for this:
- To damage or harm someone or something. In this usage, a noun or pronoun can be used between "mess" and "up." If you don't regularly get your oil changed, you could really mess up your engine.(source: McGraw-Hill Dictionary of American Idioms and Phrasal Verbs)