As muru mentioned in his answer, the Upanishad Eliot is referencing is the Brihadaranyaka Upanishad. Eliot added the following footnote:
“Datta, dayadhvam, damyata” (Give, sympathise, control). The fable of the meaning of the Thunder is found in the Brihadaranyaka—Upanishad, 5, 1. A translation is found in Deussen's Sechsig Upanishads des Veda, p. 489.
I am quoting this note because there are a few issues with it, as Harish Trivedi pointed out in Colonial Transactions: English Literature and India (Manchester University Press, 1995, page 126):
As we all know, this [“Datta, Dayadhvam, Damyata”] comes from the Brihadaranyaka Upanishad, even if some commentators on Eliot and/or their copy-editors still cannot spell Brihadaranyaka correctly and consistently). Many critics have pointed to the puzzling fact that the order in which the three injunctions occur in the Sanskrit, “Damyata, Datta, Dayadhvam”, has been reshuffled by Eliot to become “Datta, Dayadhvam, Damyata”, but as we do not have even a persuasive surmise much less a reasonable explanation as to why he should have done so, there is perhaps some reason to suspect a little private trick on Eliot's part, a little harmless pedantic joke.
Harish Trivedi also points out that Eliot's footnote sends readers to the wrong part of the Upanishad, namely Chapter 5 section 1 instead of Chapter 5 section 2. For a translation of the relevant section, see for example The Upanishads by Max Müller:
The threefold descendants of Pragâpati, gods, men, and Asuras (evil spirits), dwelt as Brahmakârins (students) with their father Pragâpati. Having finished their studentship the gods said: ' Tell us (something), Sir.' He told them the syllable Da. Then he said: 'Did you understand?' They said: 'We did understand. You told us "Damyata," Be subdued.' 'Yes,' he said, 'you have understood.'
Then the men said to him: 'Tell us something, Sir.' He told them the same syllable Da. Then he said: 'Did you understand?' They said: 'We did understand. You told us, "Datta," Give.' 'Yes,' he said, 'you have understood.'
Then the Asuras said to him: ' Tell us something, Sir.' He told them the same syllable Da. Then he said: 'Did you understand ?' They said: 'We did understand. You told us, "Dayadham," Be merciful.' 'Yes,' he said, 'you have understood.'
(For commentary on this section, see for example The Brihadaranyaka Upanishad by Swami Krishnananda. Swami Krishnananda points out that the three types of beings understand the same syllable differently depending on their nature.)
Harish Trivedi also points out that Eliot's footnote sends his readers to a German translation, which would have been out of reach for many of his readers, instead of an English one.
Finally, Harish Trivedi points out that Eliot may have been attracted to a rhetorical device:
This is the device through which this single syllable ["Da"] evokes and expands into three independent and disparate words and thus, what was obscure becomes explicit, what was cryptic becomes lucid, and what was elementally incoherent becomes humanly discernible.
In conclusion, Eliot's footnote provides some eludication because it explains or translates “Datta, dayadhvam, damyata”. However, the reader is sent to the wrong section of the Upanishad, possibly intentionally, since some of Eliot's other footnotes are less than helpful (e.g. "The following lines were stimulated by the account of one of the Antarctic expeditions (I forget which, but I think one of Shackleton's): ...."), as if Eliot were actually parodying the concept of footnotes itself.