1 Thessalonians 5:21 reads:
Put all things to the test: keep what is good [GNT]
Prove all things; hold fast that which is good [KJV]
What is "all things" here?
It continues verse 20; the entire statement is: "Do not despise prophecies, but test everything; hold fast what is good."
I would interpret this to mean that we are specifically dealing with prophets and prophecy here. When someone prophesies, we are not to outright reject them but to test the prophecy. If is is from God we should never let it go. If it is merely the words of a person speaking in place of God, we must ignore them entirely (Jeremiah 23).
Also see 1 John 4:1:
"Beloved, do not believe every spirit, but test the spirits to see whether they are from God, for many false prophets have gone out into the world."
1 Corinthians 14:22:
"But prophecy is a sign not for unbelievers but for believers."