Virgil, the Roman poet, in the Aeneid (book X, line 284): “audentis Fortuna iuvat” — Fortune helps the daring. It is spoken by Turnus, the enemy of the poem's hero Aeneas, as he urges his men to attack the Trojans landing on the shore. Similar Latin sayings existed, but this is the line the English proverb is usually traced to.
What it means
Luck tends to go to those who act boldly rather than those who hold back. In the poem the line is also a warning, because the man who says it is defeated.
Where it comes from
In book X Aeneas returns by sea with allies, and Turnus decides to meet them on the beach before they are steady on their feet. He tells his men to remember their wives and homes and their fathers' great deeds, and ends: “Audentis Fortuna iuvat.” (Some editions spell the first word audentes.) Wikiquote gives the line as Book X, line 284, with the translations “Fortune favors the bold” and “Fortune helps the daring”.
Turnus is brave, but he is killed by Aeneas in the closing lines of the Aeneid. The line is often printed as an anonymous Latin proverb; it has an author and a line number. Wikiquote also lists an older Latin cousin, “Fortibus est fortuna viris data” (fortune is given to brave men), from Ennius's Annales.