The answer is a bit surprising. They didn't go anywhere. Early humans had an intuitive knowledge of their role in nature, just as bears and raccoons and mice and every other critter does. They understood, from the ways of the wild around them, that nothing ever comes from nowhere and nothing ever just disappears. Things change form.
Death is necessary for life to continue.
They offered up their kills as sacrifices to the gods of nature. They offered praise, prayer, sacrifice, and song to the spirits of the wild, to brother buffalo, brother deer, brother fish, and brother tree. Now we know that everything that has ever existed continues to exist, in one form of another, and as for as we can tell, they were more aware of that back then than we are now. So the sacrifice, song, praise and prayer did not ensure the immortality of the slaughtered, either in body or in spirit. That was already taken care of.