The phrase means being fully dedicated to an activity, leaving no effort spared. He renovated his house and didn't do anything by halves; every room looks spectacular.
Pro Tip 2/3
No Mediocrity
Using this phrase suggests that doing things halfway or average is not acceptable. When she organizes events, she doesn't do anything by halves; they're always extraordinary.
Pro Tip 3/3
Positive Connotation
It's usually meant as a compliment, praising someone's thoroughness or dedication. As a chef, he doesn't do anything by halves—his dishes are flawless.