This quote is about stress and how we think. "Stress is caused by your thoughts" means that worrying or thinking too much can make you feel stressed. "Not the situation" suggests that it's not always the problem itself, but how you think about it that makes you stressed.
Imagine you have a test coming up. "Stress is caused by your thoughts" is like saying if you keep thinking you'll fail, you'll feel stressed. "Not the situation" means it's not the test making you stressed, but your thoughts about doing badly.
In simple words, this quote tells us that it's often our thoughts and worries that make us feel stressed, not the actual problem. It's like saying if you change how you think about things, you might feel less stressed even in tough situations.