Things went wrong and is probably out of control. Sideways (one word) means traveling to the side, rather than forward or back. If you are in a car, it would normally go forward or backwards - even if you make a turn. But it the car starts moving to either side without turning, then something is very wrong. The car is on ice or some big spot of oil.

Going Sideways means something went wrong and not according to the plan. But It is somehow colloquial. Something better would be "Things got sidetracked".