The expression “double cross” means: Betrayal; treachery; deception by double-dealing; or, as a verb, to bamboozle; to take one to the cleaners.
Like any other slang expression this may have been current for many years before it received recognition on the printed page.
Its formation, however, was a natural one: the adjective double in the sense, “characterized by duplicity; false,” and the noun cross in its slang sense, “dishonesty; fraudulence.”
The first record we have is in the 1874 edition of John Hotten’s Dictionary of Modern Slang, Cant, and Vulgar Words, with the definition, still in vogue in prize fights and some other sports, “A cross in which a man who has engaged to lose breaks his engagement, and ‘goes straight’ at the last moment.”