It's a systems thinking concept.

It means an effect of an effect of an effect of the original thing. "X because Y because Z because original thing A."

Think like Five Whys and so on.

In this case it's shorthand for "not a direct outcome but most likely correlated"

You start working out regularly.

First order effect: you get healthier.

Second order effect: you feel more confident.

Third order effect: you start going out on the weekends more.