This expression refers to something (a business, a relation) which ends terribly bad (i.e. in a fight).
It comes from the religious language. In concrete terms, it alludes to the procession of the brotherhood of Rosario, which is celebrated in the streets as the dawn appears. By the time the procession took place, there were actually often conflicts, as group of youngsters used to wander around looking for a fight. In fact, it was not long ago that political and religious confrontations were frequent in Spain.