This quote is taken from Act I, Scene III. As the witches prophesied, Macbeth has just been named the Thane of Cawdor, and he is now pondering their other prediction—that he will become the king.
The problem with this prediction, however, is that Macbeth's mind immediately begins to think about murdering Duncan. These thoughts terrify Macbeth ("doth unfix my hair"), and he knows deep down that they are wrong because they go against "nature."
These murderous thoughts are the "horrible imaginings" that Macbeth describes. They frighten Macbeth far more than any real danger because they show just how far he is prepared to go to achieve his ambition. Macbeth is, therefore, wrestling with his own conscience: he wants the crown, but he is afraid that this involves committing a heinous and very violent crime.
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.