To try hard or concentrate one's abilities (toward something). Without the preposition "to," it refers to a concentrated effort in general. I know you think you won't be able to understand this level of math, but you just need to apply yourself, and you'll find success. If we apply ourselves to the problem, we'll find a solution eventually.
See also: apply
Farlex Dictionary of Idioms. © 2015 Farlex, Inc, all rights reserved.