A speaker who feels trapped sends their longing upward, hoping the sky can hold what they can't say on the ground. The poem begins with birds, which fly freely and high, and compares them to the speaker's thoughts. The thoughts climb just as far, but the speaker is left behind, which is why the title, "Set Me Free," feels like a quiet plea.
In the second stanza the speaker explains what "sky" means: the moon, the stars, the clouds. These are things we associate with night, distance and silence. The speaker says they "capture all the nights," full of shouts. That image suggests many sleepless or lonely evenings when the speaker cried out, perhaps only inside their head, with no one nearby to hear. The poem doesn't say what they want freedom from, so the feeling stays open and easy to relate to.
The mood is wistful and a little sad, but there is also hope in the way the speaker keeps reaching upward.