As Sally explained, that means they're reviewing your entire loan application. Typically that's done by an "underwriter." He or she goes through the application and makes sure everything is OK. Usually the underwriter will come back with a few questions. Don't panic. Just comply with what they want. It might be a more recent copy of your pay stub, for instance. Or a more recent bank statement. Things like that.
After everything is assembled and updated, the underwriter makes a decision about whether the bank will underwrite--or fund--your loan.