This quote appears in Chapter 2 of Walden in which Thoreau discusses where he goes and why he goes into the woods. These words in particular represent one of the main tenets of Transcendentalism and echo some of Emerson's statements in Nature. What Thoreau means is that self-reliant man has only to set out on whatever path he chooses because nature (or "the universe") will ensure that that path is already there. Thus, there are no limitations on man's goals or journey. The following clause, "whether we travel fast or slow, the track is laid for us," demonstrates Thoreau's philosophy of every man marching to his own beat and once again illustrates that man need not worry that some higher power will disrupt his rhythm or hinder his thinking ("conceptions"). Instead, man's universe becomes whatever he wants it to be.
This type of thinking--that man possesses a unity with the universe and that it is his to conceive or bend--would have been shocking, of course, to the Puritan or Romantic authors who preceded Thoreau. So, his words serve as a contrast to their view that the universe or God controls man and forces him to consistently obey.