From Collingwood's Autobiography:
I expressed this new conception of history in the phrase: ‘all history is the history of thought.’ You are thinking historically, I meant, when you say about anything, ‘I see what the person who made this (wrote this, used this, designed this, &c.) was thinking.’ Until you can say that, you may be trying to think historically, but you are not succeeding. And there is nothing except thought that can be the object of historical knowledge. Political history is the history of political thought: not ‘political theory’, but the thought which occupies the mind of a man engaged in political work: the formation of a policy, the planning of means to execute it, the attempt to carry it into effect, the discovery that others are hostile to it, the devising of ways to overcome their histility, and so forth…. Military history, again, is not a description of weary marches in heat or cold, or the thrills and chills of battle or the long agony of wounded men. It is a description of plans and counter-plans: of thinking about strategy and thinking about tactics, and in the last resort of what men in the ranks though about the battle.
On what conditions was it possible to know the history of a thought? First, the thought must be expressed: either in what we call language, or in one of the many other forms of expressive activity…. Secondly, the historian must be able to think over again for himself the thought whose expression he is trying to interpret…. If some one, hereinafter called the mathematician, has written that twice two is four, and if some one else, hereinafter called the historian, wants to know what he was thinking when he made those marks on paper, the historian will never be able to answer this question unless he is mathematician enough to think exactly what the mathematician thought, and expressed by writing that twice to are four. When he interprets the marks on paper, and says, ‘by these marks the mathematician meant that twice two are four”, he is thinking simultaneously: (a) that twice two are four, (b) that the mathematician thought this, too; and (c) that he expressed this thought by making these marks on paper…
This gave me a second proposition: ‘historical knowledge is the re-enactment in the historian's mind of the thought whose history he is studying.’
It may be worth noting that, in his autobiography, Collingwood provides little information about his non-academic life.