The phrase can imply a deep appreciation for, or complete immersion in, a new culture. After years in Japan, she went native, celebrating all local festivals.
Pro Tip 2/3
Possible Negative
'Go native' sometimes has a negative tone, suggesting abandonment of one's traditions. Some villagers felt he went native, neglecting his own customs.
Pro Tip 3/3
Not Just Location
It can also be used for adapting to groups or communities, not just geographical places. Joining the artists, he went native, adopting their lifestyle and values.