The lyrics of the song represent liberation of the ancient Jewish people from Egyptian slavery, a story recounted in the Old Testament. For enslaved African Americans, the story was very powerful because they could relate to the experiences of Moses and the Israelites who were enslaved by the pharaoh, representing the enslavers, and it holds the hopeful message that God will help those who are persecuted. The song also makes references to the Jordan River, which was often referred to in spirituals that described finally reaching freedom because such an act of running away often involved crossing one or more rivers. Going “down” to Egypt is derived from the Bible; the Old Testament recognizes the Nile Valley as lower than Jerusalem and the Promised Land; thus, going to Egypt means going “down” while going away from Egypt is “up”. In the context of American slavery, this ancient sense of “down” converged with the concept of “down the river” (the Mississippi), where enslaved people’s conditions were notoriously worse, a situation which led to the idiom “sell [someone] down the river” in present-day English.

https://en.wikipedia.org/wiki/Go_Down_Moses