In the Sallatha Sutta, the Buddha describes a person struck by an arrow who then shoots themselves with a second arrow - worry, resistance, blame. The first arrow, pain, comes with being alive: loss, illness, ageing, disappointment. The second arrow, suffering, is what the mind adds. The Stoics made a parallel point: we are disturbed not by things but by our judgements about them. The saying does not deny pain or ask us to be heroic about it. It asks us to notice the extra layer of story we pile on top, and to recognise that this layer, at least, is partly within our power to put down.
The first arrow hurts. The second is optional.