If you consider the thesis of Orwell's "Shooting an Elephant" to be directly stated, you probably want to point to a sentence in paragraph seven:
...when the white man turns tyrant it is his own freedom that he destroys.
In the essay, Orwell describes how he lost the ability to act morally. The elephant appeared to have already passed out of "must," and did not, at that moment, need to be destroyed. Faced with the mob, however, Orwell cannot afford to buck the mentality of that mob. The mob is waiting for some excitement and entertainment, and he cannot afford to disappoint its members. As Orwell describes the scene, the fact that he is surrounded by locals is emphasized, and this highlights the overwhelming numbers of people that must be controlled by a relatively few British. Orwell cannot afford to show any sign of weakness. Thus, he feels, he is forced to kill the elephant. He loses his freedom to act morally.
If the thesis is implied, rather than directly stated, then it deals with a similar but more detailed thought. Based on the description of the locals, we see that they, too, have been changed by imperialism. The Buddhist monks, for instance, seemed to have nothing "to do except stand on street corners and jeer at Europeans," according to Orwell. If the thesis is implied, therefore, it deals with the idea that both the colonizers and the colonized are negatively changed by imperialism. Imperialism comes at a cost to both imperialists and their victims.