In informal British English, if you are shagged you are extremely tired — no energy left after work, sport, or a long day. People also say shagged out. It is not a polite word. It comes from a rude verb about sex, and then people used it for being worn out, the way that kind of slang and tiredness often mix. Younger British speakers say it with friends. You would not write it in a school essay, and you would not say it to a teacher or to someone you have just met. American English hardly uses this tired meaning, so a US film may not help you here. Though actually, if you only need very tired, exhausted will keep you safe; knackered is also British and a little less sharp. There is another, older English shagged that meant covered in rough hair. That is a different word with the same spelling, and it is not this sense.