Carlos Casagemas, a close friend of Pablo Picasso, shot himself in the company of friends in a Parisian café after having been rejected by a girl he was in love with. Pablo Picasso was in Spain at the time, but the shock of his friend's suicide meant the beginning of Pablo Picasso's famous blue period. Later on Picasso had said:
When I realized Casagemas was dead, I started to paint in blue.
In the paintings of Pablo Picasso it's often difficult to say what is conscious- and what is sub-conscious symbolism. An element of deliberate symbolism is probably the crucified rider near the top of the painting. If you look closely you will see that the rider is actually tied to, and carrying a cross. The crucified rider is a symbol with occult origins, which signifies the soul of the deceased.
The meaning of the scarcely dressed women has been interpreted in various ways. Some believe that Casagemas' death made Picasso doubt the legitimacy of the promiscuous lifestyle of the Montmartre art community, even though Picasso would remain an avid sexual freethinker until his death in 1973.
Personally, I think that the women were meant as consolation for Casagemas, bearing in mind that amorous rejection was the reason of his suicide. In that spirit, the woman with children at the center of the painting represent the family life and happyness that were not to be for Casagemas. This theme, if interpreted correctly, returns in Pablo Picasso's painting called Life.