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This quote is said by Reverend Hale in Act IV, when it is clear that the witch hunt has moved on somewhat, and a number of people have now been hung for their supposed "crimes." Hale, instead of being the first instigator of the witch hunt, who zealously questioned Tituba in Act I, is now a broken man who denounces the whole proceedings, as his swift exit from the court at the end of Act III demonstrates. Now, he spends his time working with those due to be hung, trying to encourage them to lie and confess to crimes they didn't commit to spare their lives. Note how he describes his new work:
I come to do the Devil's work. I come to counsel Christians that they should belie themselves. There is blood on my head! Can you not see the blood on my head!
It is clear from these words that Hale feels, at least in part, responsible for the deaths of those who went to the gallows refusing to confess to crimes they didn't commit. He, unlike Danforth, is able to see the massive mistake that has been made and how the court has been accusing and sentencing to death innocent people. Because he was involved in that process, at least initially, he feels himself to be culpable. It is clear from the quote that this is something that haunts and disturbs him deeply.
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