The most common and most likely answer to this crossword clue is the 8 letter word HEAVENS!
I've seen this crossword clue in The Guardian
H
E
A
V
E
N
S
!
Buddy explains!

The straight part
We know that "my goodness!" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case my goodness! = heavens!.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does HEAVENS! mean?
HEAVENS! noun- The sky, specifically:
- The abode of God or the gods, traditionally conceived as beyond the sky; especially:
- The afterlife of the blessed dead, traditionally conceived as opposed to an afterlife of the wicked and unjust (compare hell); specifically:
- (by extension) Any paradise; any blissful place or experience.
- (by extension) A state of bliss; a peaceful ecstasy.
- (with a modifier) Similarly blissful afterlives, places, or states for particular people, animals, or objects.
- To transport to the abode of God, the gods, or the blessed.
- To beatify, enchant, or please greatly.
- To beautify, to make into a paradise.
- (often with 'the') The distant sky of the sun, moon, and stars.
- An expression of surprise, contempt, outrage, disgust, boredom, or frustration.