The greatest clue to what this poem is all about is its title — "MCMXIV." These are the Roman numerals for the number 1914. The year 1914 was the start of World War I in Europe. Additionally, it is important to know that Philip Larkin was English and a renowned post-war poet. That background knowledge is central to any interpretation of the poem.
Knowing that the poem is set in England prior to WWI, we can begin to draw conclusions based on the speaker's descriptions. The first stanza depicts lines of men waiting to enlist, "Grinning as if it were all / An August Bank Holiday lark." The men are excited, as if they are on vacation or going to a sporting event, as they sign up to enter one of the bloodiest and deadliest wars in recorded history.
The picture shifts, with "shut shops" and "dust behind limousines." The country has been abandoned as the men have gone off to war, and the tone has changed to one of loss. What exactly has been lost is identified in the last stanza of the poem, echoed both in the first and last line of that stanza: "Never such innocence again." The fact that this poem is all one sentence further suggests that it is a single thought — that the transition from naive enthusiasm to jaded cynicism occurs in a single moment as fleeting as the time it takes to utter just one sentence.