This expression refers to the fact that, in many instances, particularly in the animal kingdom, individuals are safer when part of a larger group. Among humans, being part of a group can make one safer. It can also make a person more confident about taking action or even thinking in a certain way.
The proverb traces back to at least the 17th century in this form (and presumably with this meaning). But the sentiment dates back much earlier, with the earliest known reference in The Book of Proverbs (a collection of biblical wisdom that is in both the Hebrew Bible and Christian Old Testament). But, in Proverbs, it seems to have a somewhat different meaning - not that there is safety in doing the same as others but instead that there is safety in seeking the informed opinion of multiple experts.
To quote the King James Bible, Proverbs 11:14: Where no counsel is, the people fall: but in the multitude of counsellers there is safety."
The same verse is translated in the New International Version as "For lack of guidance a nation falls, but victory is won through many advisers."
More expressions and their source
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