These are the words of Kurtz, the hugely successful, mysterious and and seemingly evil ivory trader that is the central figure in Joseph Conrad's Heart of Darkness, spoken on his deathbed. They're overheard by Marlowe, the narrator, who has spent much time and effort on behalf of a Belgian company traversing part of Africa to find Kurtz, who is said to have "gone native."
The story was not very subtly transplanted to Southeast Asia at the time of the Vietnam War in the movie Apocalypse Now. In the movie, the character of Kurtz becomes a very large American Colonel, played by Marlon Brando, who has gone rogue.
Just what the words "the horror" refers to is a matter of some dispute. In the novella, the reference to a Belgian company indicates that Kurtz has set up his kingdom of sorts in the Belgian Congo. The Belgians were notoriously brutal in their treatment of the people inhabiting their colony. "The horror" may refer to that brutality and the death and destruction it caused; it may refer to Africa and Africans, and their allegedly evil effect on Europeans; it may refer to the lives and conduct of Europeans in their colonies as they raped and plundered Africans and the land of Africa.
Generally, though, it's thought to refer to imperialism's corruption of both imperialists and their subjects/victims.
It's a corruption to be expected in those who desire things not in their control, as the Stoics would put it. In this case the desire is for other places and people. More specifically the desire is to exploit other places and people, and do whatever is necessary to do so. Those with those desires who pursue them are incapable of virtue. They're instead cruel and brutal, and have no concern for or interest in those they harm.
This has a familiar ring. The 21st century is not that different from the 19th century; at least, people who have such desires and act on them are much the same in any period.
One of the things I find admirable about Stoicism is that its prescription for happiness and standard for ethical conduct is simple and persuasive. Most all our problems result from the pursuit of or aversion to things beyond our control. This causes anger, envy, hatred, lust, conflict, fear-- essentially every cause of misconduct.