For me, this song is about a person who's been taught there is a God, but doesn't really believe enough to talk to God & thank Him in the best of times. And when things started to go wrong, they didn't reach out to Him until rock bottom, basically cuz they had no other options. By then, it was too late to ask for help, cuz they'd already lost everything & blamed God for it, even tho we all have free will, which means God doesn't interfere with our lives, unless we really ask for Him to help us & actually believe in Him. Why should God help us, when we never even acknowledge Him or ask Him if He needs help from us?
So the conversation between them is the singer asking where God was all the time they were needing help. God says that He was there, surrounding them all that time & waiting for a call, but they never acknowledged Him.
Again, this is my interpretation, drawing from my own personal experience with being a Christian, but not really believing or talking to God, until it was convenient for me.
Singer: I found God on the corner of First and Amistad, where the west was all but won. All alone, smoking his last cigarette. I said, "Where you been?" He said, "Ask anything."
Singer: Where were you when everything was falling apart?
God: All my days were spent by a telephone that never rang and all I needed was a call that never came to the corner of First and Amistad.
Singer: Lost and insecure.
God: You found me, you found me.
Singer: Lying on the floor.
God: Surrounded, surrounded. Why'd you have to wait?
Singer: Where were you? Where were you?
God: Just a little late...you found me, you found me.
Singer: In the end everyone ends up alone. Losing her...the only one who's ever known who I am, who I'm not, and who I wanna be. No way to know how long she will be next to me.
Early morning, the city breaks.
God: And I've been calling for years and years and years and years and you never left me no messages. You never send me no letters.
Singer: You got some kind of nerve, taking all I want.
Singer: Lying on the floor. Where were you? Where were you?
God: Just a little late...you found me, you found me
God: Why'd you have to wait to find me? To find me?