According to the poem, the actual burden that white people are plagued with is the non-white people that they have conquered and the need to care for these non-white, inferior peoples.
What Kipling is saying is that when a white country colonizes, it has all these people who are "half devil and half child." It must, therefore, care for the those people the same way that a parent must care for its children.
Parenting clearly involves sacrifice and so, says Kipling, does colonization. White people will have to go out to all these primitive places where they have to do without civilized comforts and work hard (in "heavy harness") to take care of all these inferior people who need to be helped because they are not advanced enough to take care of themselves.
The poem “The White Man’s Burden” was written with reference to the American takeover of the Philippines after the Spanish- American War. A majority of Americans including Abraham Lincoln, were against the idea of America joining the European Nations of Great Britain, Spain, France, etc. in taking over the rule of other countries and building their own empires.
A number of Americans, the most prominent of them being Theodore Roosevelt believed that this was America’s fate as it had to take up the responsibility of the improvement of people who were not as technologically advanced as the Americans and help them progress to a higher stage of civilization.
Kipling’s poem “The White Man’s Burden” was for this group of Americans and he actually had an advance copy of it given to Theodore Roosevelt, who felt it captured his ideology very well.