Huxley was dubious of the advancements of science and technology. For, he feared that they might present problems beyond the control of the human being. What may initially be considered an improvement could result in disaster.
I believe Huxley simply means that the only thing a person can completely control are his own actions. We may try to influence others or attempt to control the things around us, but there is never a guarantee that things will work out as we wish when other people or other variables are involved.
Huxley was very worried about ideologies and people who sought to create perfect worlds. This is why he wrote Brave New World, for example. He thought that such utopian schemes were doomed to fail. This is the meaning behind this quote -- we are only able to improve our own selves. We are not competent to create grandiose plans for the improvement of large groups of people.
So many of us focus on what we can change or improve in others. But too often, we fail to look within to see what we might change or improve about ourselves. Can we truly change another person? Can we improve someone else? Or would it be better to look inward to see what it is that we can improve about ourselves? Aldous Huxley was someone who spent his whole life seeking to grow as a person, and this quote sounds very like him. He opposed many "improvements" from without, with good reason, for example, Nazism and Socialism, which, in their day, were presented as ways to improve the world. It's best to work on yourself and not be a "do-gooder" who tries to change everyone else.