This depiction of Kali and Shiva references the human experience of death. Kali, who represents dissolution mates with Shiva, who represents creation. She drives him mad and he forgets who he is. For a time, Shiva is lost. Such is death.
This is a series of digital paintings by artist Daniel Kamarudin reimagining Avengers characters with a dark fantasy twist (previously: this other person who did the same thing back in Who is your favorite? I like Black Widow.