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