This line is in Act 1, scene 3. The scene opens with the witches telling Macbeth that he will be Thane of Glamis, Thane of Cawdor, and eventually king of Scotland. They also tell Banquo that he will be the father of kings but that he will not be king himself.
Macbeth is Thane of Glamis by inheritance, but he can't understand how could ever be Thane of Cawdor because there is already a person with that title. Nor is it likely, he thinks, that he could ever be king.
Angus and Ross enter the scene and praise Macbeth for his heroism in the battle. They tell him the king wants to see him right away and that he will be named Thane of Cawdor because the present thane is a traitor.
That starts Macbeth to wondering if the witches had told him the truth. If they did, however, that means the king is going to have to die in order for Macbeth to become king. Horrible images of what must happen come into his mind, and that's when he tells himself, "Present fears/ Are less than horrible imaginings." In other words, he's letting his imagination get the better of him.