The same thing as "oh my god!"

whoops

this is from worldwidewords.com The meaning is simple enough: it’s just a mild exclamation of shock or surprise. It is almost exclusively an American expression, associated in my mind with mature females of the Prohibition era or earlier (though this may just be a reflection of my recent reading). As to where it came from, nobody has the slightest idea. It seems to be one of those traditional sayings that have been around in the language for generations, but which only latterly have come to be recorded in print. The big Oxford English Dictionary has a first citation from 1914, but I’m told it can be found as far back as 1891. Some have tried to trace it to the Revolutionary War and to Betsy Ross, but have failed; others think it may have something to do with the frontiersman’s rifle, often called Old Betsy, but there’s no evidence that saying and name are associated. Charles Earle Funk, who in 1955 used the phrase as part of the title of a book about curious phrases, said that its origins were “completely unsolvable”. We have to leave it as one of the great mysteries of lexicography, along with the similar heavens to Murgatroyd. Unless someone reading this knows different?

It is a reply to something that you are shocked at or surpised at. Example:Heavens to Betsy you scared the heck out of me! 5

This American phrase has been in circulation since the latter part of the 19th century, although its use faded throughout the 20th century and it is now something of an anachronism. The first example of it that I can find is in Rose Terry Cooke's book of short stories Huckleberries Gathered from New England Hills, 1891: 'Heavens to Betsy!' gasped Josiah. Of course, what we would like to know is who Betsy was. Various theories have been put forward but it is unlikely that she will be identified, if indeed Betsy ever was a real person - which seems doubtful. The etymologist Charles Earle Funk published Heavens to Betsy! and other curious sayings in 1955. In that he ventured the opinion that the origins of 'Heavens to Betsy' were "completely unsolvable".