“I felt pretty confident going in.”

You're applying for an open position at your company. You had an interview for the job, and now you're telling your friend about how the interview went.

I felt pretty confident going in.

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feel confident

When you "feel confident", it means that you think that you will be able to succeed at something.

pretty (adjective)

You use "pretty" before an adjective to show how much of that quality something has.

"Pretty ___" is somewhere between "kind of " and "really". It basically means "a little more than you expected". For example:

This soup is actually pretty good.

I think I have a pretty good shot at getting the job.

That song is pretty catchy.

(do something) going in

You use the phrase "going in" to describe what you knew, felt, or did at the beginning of something. For example:

I had low expectations for Iron Man 2 going in, but I actually enjoyed it quite a bit.

Going in, I knew that if I didn't make this sale, I was out of a job.

As you can see from these examples, "going in" can come at the beginning or end of a sentence or clause.

"Going in" is useful because it specifically refers to the beginning point of an event. If you say:

I felt pretty confident before the interview.

That could mean the same thing as "going in", but it could also mean that you felt confident a few hours or days before the interview, but didn't feel confident when it started:

I felt pretty confident before the interview, but when I got to the office I started to feel nervous.