Something that's bloody is stained or covered with blood, like a bloody nose. In British slang, bloody means something like “very.” That’s bloody brilliant!
Things that are literally bloody have blood on them or are made of blood. Figuratively bloody things, on the other hand, only imply blood — a bloody coup, for example, is a government overthrow that involves some amount of violence. To bloody something is to cover it in blood: "I will bloody your nose if you say that again!" It comes from the Old English blodig, from blod, or "blood."