People use the phrase "go through ___" to describe negative experiences. "Go through" means to experience something negative or difficult. Some examples include:
go through a divorce
go through a tough time
go through childbirth
There are some other totally different meanings of "go through". One is to search and examine things in a list or a collection:
We should sit down and go through the details later this week.
Another meaning of "go through" is to use a person or agency to do something for you instead of doing it directly yourself:
Are you going through a recruitment agency?
It's best to remember each of these meanings separately.