Bag and baggage means ‘with all one’s possessions’.
Originally a military phrase, it was used to refer to the entire property of an army, including the personal belongings of its soldiers.
And one of the sure signs of a successful military campaign is an army returning from war without any in of its property having fallen into enemy hands.
As time passed, the phrase became useful in describing a much wider variety of departures, though all typically associated with a failure or misfortune of some sort.
When Sally caught her boyfriend using her business bank account to pay his gambling debts, she threw him out bag and baggage.
Now you know!