Literally, it means "he is not afraid of the sky, nor the earth". However, in Chinese, it means that he's not afraid of heavenly retribution, or the judgement of any gods, and he's also not afraid of earthly retribution, for example laws, or people's hatred, etc. In essence, it means someone is not afraid of spiritual punishment, or physical punishment.
It means that he isn't afraid of anything, but it has a sort of negative connotation. If you're trying to say "brave" as in for a hero, it might be better not to use this phrase. It conveys a kind of reckless behaviour, or something akin to provoking authority. It might also be used admiringly, perhaps by young kids looking up to their seniors for being bold.