Any misfortune that would make life unlivable, especially rape or loss of virginity. The phrase was formally a euphemism for rape.
This phrase originally attested to the belief that a dishonoured woman was better off dead. It is still used, but ironically of late. The earlier view was expressed in Gibbon’s Decline and Fall of the Roman Empire, 1781:
“The matrons and virgins of Rome were exposed to injuries more dreadful, in the apprehension of chastity, than death itself.”
The current version of the phrase was used in several works from 1810 onward but was probably brought into public use via Edgar Rice Burroughs’ widely read Tarzan of the Apes, 1914:
“[The ape] threw her roughly across his broad, hairy shoulders, and leaped back into the trees, bearing Jane Porter away toward a fate a thousand times worse than death.”