I agree with Ben's answer, but there could be other meanings depending on context. It might not mean literal "angels" but instead having goodness/right on you side. Example: They were fighting to help the poor, so they had the angels on their side. American President Abraham Lincoln once referred to "the better angels of our nature," referring to human being's good qualities (love, mercy, compassion, etc.) while recognizing that we have "bad angels" in our nature (greed, hatred, etc.).

It means that some people who are religious or superstitious believe that they have some spirits (angels) protecting or helping them.