A proverb in reference to things that are true, but are not believed. For Sagra [is] a place in Lokris. Menander in Anatithemene mentions the proverb.1 They say that the Epizephyrian Lokrians2 were at war with the neighboring Krotoniates and asked the Lacedaemonians for an alliance. [The latter] said they had no army, but they would give them the Dioskouroi. The Lokrians, having interpreted the taunt as an omen, turned back their ship and begged the Dioskouroi to sail with them. And after they had won a victory that same day and sent word by messenger to Sparta↗, it was at first disbelieved; but once it had been found to be true, it was said of things that are perfectly true, but not believed.
So "truer things than those at Sagra" [is said] in reference to what is absolutely true. For it is said the word about the victory came on the same day from Italy to Sparta↗. Hence the story became a proverb in reference to truthful matters.3
The principal paragraph here is also in Photius, Lexicon alpha936 Theodoridis, with looser parallels elsewhere (including several of the paroemiographers).