It appears to be part of the barracks housing the peasants and Chinese immigrants that work for Juan de la Vara in the slaughterhouse. It is a necessary component to achieve 100% Completion.
The house is more-or-less in the center of El Matadero. It features a bed where the player can rest and a chest that contains ammo. Despite the fact that there are numerous beds, only the one in the far back corner can be used to save and change outfits.
There are crates of TNT throughout the building, and on the roof (accessed via a ladder) is a Maxim Gun that the player can operate.
View and Maxim Gun from the roof of the Safehouse.