This verse sets the stage for a pivotal moment in the Gospel of Mark where Jesus directly addresses the question of his identity. Let's break down the meaning:

"Jesus went out, with his disciples, into the villages of Caesarea Philippi." This is important for a few reasons:
Location: Caesarea Philippi was a pagan area, far north of Galilee. It was associated with idolatry and the worship of pagan gods, including Caesar. This location is significant because Jesus is about to ask his disciples about his identity in a place filled with alternative views of divinity.
Disciples' Focus: By taking his disciples away from the crowds, Jesus could have a more intimate and focused conversation with them.

"On the way he asked his disciples, 'Who do men say that I am?'"
The Question: Jesus isn't asking for information he doesn't already know. He's leading his disciples to consider their own understanding of his identity by first exploring the popular opinion.
"Who do men say that I am?" is not "who do people think I am?" but rather "who do they identify me as?" It gets to the categorization of Jesus. It is crucial to understand what people see as Jesus's role.
Preparation: This question prepares the disciples for a much deeper and more challenging question: their own belief about who Jesus is.

In essence, this verse means:

Jesus intentionally travels with his disciples to a pagan area to create an opportunity for a serious discussion about his identity. He begins by asking them what the common perception is, likely to set the stage for revealing his true nature and their belief in him. This verse marks the beginning of a turning point in the Gospel of Mark, shifting the focus from Jesus's miracles and teachings to a deeper understanding of his messianic identity. It primes the audience for Peter's declaration, the first explicit confession of Jesus as the Christ (Messiah).