A "rough" neighborhood or a "rough part of town" is an area where there is often a lot of crime like robberies and murders:

A: He's living on the South side.

B: Really? That's a rough part of town, isn't it?

You can sometimes tell that a neighborhood is rough when there are a lot of old, worn-out buildings.

Other things that you can describe as "rough" in the same way include:

She lived a rough life.

I heard he had a rough childhood.

Thay place attracts a pretty rough crowd.