Source, in full
As reported by Heraclides Ponticus (c. 360 BC), and Diogenes Laërtius (Lives and Opinions of Eminent Philosophers, "Pythagoras", Sect. 4), and quoted in Cosmic Optimism: A Study of the Interpretation of Evolution (1949) by Frederick William Conner
Notes from Wikiquote
Misquoted as "I was at Euphorbus at the siege of Troy." in Hoyt's New Cyclopedia of Practical Quotations (1922)