This story is about so many things: power, colonialism, the individual vs. society, cultural differences, and inhumane treatment of animals to name a few. This was written during a time that the power of Britain was falling apart all over the world and many of the colonies they had held for so long were regaining their independence. There are issues there, as well. The Burmese simply don't like or respect the "invaders".
In his essay "Shooting an Elephant," Orwell examines the effects of imperialism on the imperialist. A representative of the British government, the narrator has authority in Burma that he must uphold, and he feels uncomfortable in doing this. Indeed, he feels inadequate. When he is called upon to shoot the elephant, he must fire the gun again and again, while he knows he is doing something cruel. He must save face, however. Although he only brought the rifle to defend himself, the pressure of the crowd--what they expect from him as part of the British Raj--compels him to shoot. The last sentence carries the irony of the experience: "I often wondered whether any of the others grasped that I had done it solely to avoid looking a fool." In condemning himself, he shows the "trickle-down" effect of the immorality of imperialism.