As advice for climbing a tall and wobbly ladder, this aphorism speaks of the value of partnerships and mutual support. Extended, it could be taken as proclaiming the value of communal collectives such as food-purchasing clubs or cooperative housing. Note the use of the word “don’t” which implies we actually have the choice to “go it alone” - a suggestion some would counter as being impossible, if not absurd. We are “going” with others whether we wish to or not. Given this understanding, the phrase might be restated, “Don't pretend you are going it alone” because you are not alone, whether you like it or not. Part of the problem of this phrase is that it holds irrespective of the value of project at hand. It is such thinking that is at the precise core of recruitment into organized crime activities. Petty thieves are recruited into much larger and more sinister operations to reap the economies of scale to be gained by “not going it alone.”

1 Kings 3:9-11
So give your servant a discerning heart to govern your people
and to distinguish between right and wrong.
For who is able to govern this great people of yours?
The Lord was pleased that Solomon had asked for this.
So God said to him, Since you have asked for this
and not for long life or wealth for yourself,
nor have asked for the death of your enemies
but for discernment in administering justice,

In this text, where King Solomon is speaking with God, the not going it alone refers explicitly to God's help. There is a story I love about a man shipwrecked on a deserted island praying to God for help. When a couple arrives in a sailboat and offer to take him to safety, he replies that he is trusting in God to save him. When a naval ship comes by and calls him to board, he gives the same answer. Finally, when a helicopter hovers over him and calls by loudspeaker, he once again refuses saying he has prayed and God will save him. The man dies from starvation and exposure. In the afterlife, he complains to God and God replies, “I tried to rescue you three times, and each time you refused my help.”