Yes, that´s right... And you can use it with other possessive adjectives as well: "it´s all YOUR fault!", "it´s all HIS fault", etc.

It has two meanings: This is completely my fault. and All of this is my fault.

"This is all my fault." - this means " "This is completely my fault " . A person who accepts the fault which caused only because of him.

Previous answer was correct; and I add that people sometimes say this in a non-literal way -- they may want attention or just say it because they feel really bad about what happened. It is a way to say sometimes, "I will bear all the guilt."