When things don't turn out as we planned we say "it went south". Why not North or East or West? South is down so is that why?

For example - 

Is the mail server up?
The server went down yesterday when the hard disk crashed.

The dictatorship rose to power in 1969.
The regime fell as a result of the coup d'état in 1974.

In the heyday of the motor industry, things were looking up.
However, since the collapse of the motor industry, Detroit has gone downhill.

He hit rock bottom when an alcoholic binge landed him in the emergency room.
He has since rebounded.

Management approved proposal A, but gave a thumbs down to proposal B.

Combine that with the arbitrary convention to orient maps with north pointing up and south pointing down, and you get an idiomatic expression "going south", meaning "turning bad".

Note that these metaphors are not always generalizable. For example, going uphill is not the opposite of going downhill. ("Uphill" usually refers to some kind of struggle.) Similarly, "going north" is not a commonly accepted expression.
However, it is possible to say, Profits are expected to be north of $3 million this year.   … meaning "above 3 million dollars".