The first thing you can do is check it out-investigate, do some research. Is the statement backed up by facts? This works for many things. But you can’t do that with everything. For example, how do you know that the statement, God loves you, is true? Where can you check the facts about that?
In cases like that, you need to weigh the probabilities by considering other statements and comparing them to how God has acted in the past, such as in Bible accounts.
How you determine whether something is true will relate to how you came to know it in the first place. Some things others teach us and we accept them because we trust the person who told us. Other things we learn from experience. And still other things we seem to know intuitively. We learn (and come to understand) spiritual truths by the Spirit of God at work in our minds and hearts. They are not deduced by human reason.