Historians have not been able to definitively identify The House Of The Rising Sun, but here are the two most popular theories:
1) The song is about a brothel in New Orleans. "The House Of The Rising Sun" was named after Madame Marianne LeSoleil Levant (which means "Rising Sun" in French) and was open for business from 1862 (occupation by Union troops) until 1874, when it was closed due to complaints by neighbors. It was located at 826-830 St. Louis St.
It's about a women's prison in New Orleans called the Orleans Parish women's prison, which had an entrance gate adorned with rising sun artwork. This would explain the "ball and chain" lyrics in the song.
http://www.songfacts.com/detail.php?id=439