Finally, a Scottish song! I ran across this version while binging on The Corries and fell in love with it.
There are many theories about the meaning of the song, most of which are connected to the Jacobite Uprising of 1745. One interpretation based on the lyrics is that the song is sung by the lover of a captured Jacobite rebel set to be executed in London following a show trial. The heads of the executed rebels were then set upon pikes and exhibited in all of the towns between London and Edinburgh in a procession along the “high road” (the most important road), while the relatives of the rebels walked back along the “low road” (the ordinary road travelled by peasants and commoners).
Happy, happy, joy, joy!