A "rough" neighborhood or a "rough part of town" is an area where there is often a lot of crime like robberies and murders:
A: He's living on the South side.
B: Really? That's a rough part of town, isn't it?
You can sometimes tell that a neighborhood is rough when there are a lot of old, worn-out buildings.
Other things that you can describe as "rough" in the same way include:
She lived a rough life.
I heard he had a rough childhood.
Thay place attracts a pretty rough crowd.