Yes, nearly. The line comes from Seneca's thirteenth letter to Lucilius. The version that circulates has lost one word, and with it a good part of the meaning.
Verdict: genuine, but shortened. Seneca, Letters to Lucilius 13.4.
Seneca wrote the letters to his friend Lucilius in the last years of his life. The thirteenth is about fears that have not come true. The sentence reads:
Word for word: there are more things, Lucilius, that frighten us than things that press on us, and we suffer more often in opinion than in fact. The English that went around the world comes from Richard Gummere's translation of 1917: we suffer more often in imagination than in reality.
The popular version drops saepius, more often. Without it the line becomes a sweeping claim, that imagined suffering is always worse than the real thing, which anyone who has lived through real grief knows to be false. That is probably why so many people suspect the quote is fake. Seneca's claim is more modest and harder to argue with: it happens more often.
The short version also drops the first half, the contrast between what frightens us and what actually bears down on us. And imagination is the translator's choice. Seneca's word is opinio, opinion or judgement, the same thought Epictetus puts at the centre of Stoicism: people are troubled not by things but by their judgements about things.
Seneca admits he is speaking in a milder voice than strict Stoic doctrine, which would call all such troubles trivial. His advice is practical: do not be unhappy before the time comes, because what you fear may never come, and has certainly not come yet. Then he names three ways in which we make suffering larger than it is. We exaggerate it, we invent it, or we anticipate it.
Those three words make a usable check. When something weighs on you, ask of each part: is this happening, or am I anticipating it? Is it as large as it feels, or am I exaggerating? Is it there at all, or have I invented it? What is already happening is often not yours to change. What you add to it usually is. The topic Fear and the future has exercises built on exactly this division, and the quotes page lists which other popular lines are genuine.
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