As the answers above say, it means "with me". Just to point out the grammar, German prepositions each require the use of a specific case. The preposition "mit" requires the use of the Dative case which is why it's "mit mir" and not "mit mich" (which would be incorrectly using the Accusative case "mich" after the preposition "mit"). Common German prepositions that take the Dative case include mit, nach, bei, von, zu, aus, seit, außer, and gegenüber.

Yes "Mit mir" means with me. Come with me. Do this or that with me.

Willst du mit mir einkaufen gehen? 나랑 쇼핑하러 갈래?

"What is the meaning of 'mit mir?'" Is better! :) It means "with me" / "저하고"