I've started to wonder about this. I'm sure we've all heard this advice before. However, "thinking for yourself" too much can lead you down rabbit-holes or even into despair.
When faced with a difficult problem, I find that soliciting competing perspectives is worthwhile. Often times, I find it best to find a trusted confidant and sound out my problems with them. Then I can take their advice and reconcile it with my own views on the matter.
In a political realm, it seems that thinking for yourself too much can lead you astray into conspiracy theories. Which I see a TON of on ImgFlip when perusing the "politics" stream. No one can really accuse, say, Alex Jones of not "thinking for himself." But: his viewpoints are so out-of-touch with reality that it doesn't do anyone any good. Honestly, those who listen to Alex Jones and consider themselves "free-thinkers" for doing so are more gullible than almost anyone. They apply ridiculous amounts of scrutiny to any viewpoint coming from the "mainstream media," but then eagerly lap up anything he says without any critical thought whatsoever. There are many, many other such peddlers of misinformation to be found on YouTube and other sources around the internet, and though it doesn't come from the "corporate media," there is no reason to automatically assume it's correct as a result. In fact, I think information you get from the so-called "corporate media" is more likely to be reliable, even though they don't always get it right, either.
To some extent, we all rely upon the external world to guide and validate us. And it's not really wrong to do so. If you are off in your own bubble all the time, then odds are the problem lies with you, not the rest of the world.