This proverb is an expression of humility; in using it, a speaker acknowledges that outside factors (such as God's grace, or his upbringing) have played a role in his success in life.
The adverbial phrase is often set off with commas: "There, but for the grace of God, go I."
Allegedly from a mid-sixteenth-century statement by John Bradford, "There but for the grace of God, goes John Bradford", in reference to a group of prisoners being led to execution.
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