The expression s'en aller can be a little hard to get your head around, but it just means to leave or go away.

s'en aller  in the Present tense (Le Présent)

Je m'en vais.I'm leaving.

Tu t'en vas déjà?You're leaving already?

Ils s'en vont.They're leaving.

s'en aller  as an imperative (L'Impératif)

You can use it to tell people to go away:

Va-t'en !Go away / leave!

Allez-vous en !Go away! (plural or formal)

If you want to understand the structure (you don't have to but it's interesting), the en part is actually a replacement (pronoun) for an unspoken d'ici or de [place] so it means from here or from [place].

So,

Va-t'en !Go away / leave!

is structurally similar to get yourself out of here.

s'en aller  in the conversational past tense (Le Passé Composé)

Since it's reflexive, it can get complicated in the Passé Composé.

Nous nous sommes en allés.We left.

Il s'en est allé.  
Il s'est en allé.
He left.

Note that in these cases, the en will be before or after être: formally, it should be before, but in practice, it often ends up after.

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Examples and resources

Nous nous sommes en allés.We left.
Ils s'en vont.They're leaving.
Tu t'en vas déjà?You're leaving already?
Vive le vent d'hiver, 
Qui s'en va sifflant, soufflant,  
Dans les grands sapins verts, oh !
Long live the winter wind, 
that goes whistling, blowing, 
through the big green pine trees, oh!
Va-t'en !Go away / leave!
Il s'en est allé.  
Il s'est en allé.
He left.
Allez-vous en !Go away! (plural or formal)
Je m'en vais.I'm leaving.
How has your day been?