“In any moment of decision the best thing you can do is the right thing, the next best thing is the wrong thing, and the worst thing you can do is nothing.”

— Theodore Roosevelt

As quoted by John M. Kost http://www.mackinac.org/bio.aspx?ID=104 (25 July 1995) in S. 946, the Information Technology Management Reform Act of 1995: hearing before the Subcommittee on Oversight of Government Management and the District of Columbia of the Committee on Governmental Affairs (1996).
This appears to derive from a 1910 advertisement by writer Alfred Henry Lewis for a forthcoming series of biographical articles about Roosevelt: "All activity, Mr. Roosevelt has often shown that it is better to do the wrong thing than do nothing at all. In politics this last is peculiarly true. The best thing is to do the right thing; the next best is to do the wrong thing; the worst thing of all things is to stand perfectly still". (e.g. in La Follette's Magazine https://books.google.com/books?id=RV4CAAAAIAAJ&pg=PA183&dq=%22best+thing%22+%22right+thing%22+%22worst+thing%22+nothing&hl=en&sa=X&ved=0ahUKEwjNksu-nZrMAhVDy2MKHSl1Df8Q6AEIIzAB#v=onepage&q=%22the%20best%20thing%20is%20to%20do%20the%20right%20thing%22&f=false (28 May 1910)
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Theodore Roosevelt 445

American politician, 26th president of the United States 1858–1919

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“The worst thing you can do is nothing.”

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“So be real. That's the best thing you can do.”

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“The best thing you can do for your fellow, next to rousing his conscience, is — not to give him things to think about, but to wake things up that are in him; or say, to make him think things for himself.”

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Source: A Dish of Orts
Context: A fairytale, a sonata, a gathering storm, a limitless night, seizes you and sweeps you away: do you begin at once to wrestle with it and ask whence its power over you, whither it is carrying you? The law of each is in the mind of its composer; that law makes one man feel this way, another man feel that way. To one the sonata is a world of odour and beauty, to another of soothing only and sweetness. To one, the cloudy rendezvous is a wild dance, with a terror at its heart; to another, a majestic march of heavenly hosts, with Truth in their centre pointing their course, but as yet restraining her voice. The greatest forces lie in the region of the uncomprehended.
I will go farther. The best thing you can do for your fellow, next to rousing his conscience, is — not to give him things to think about, but to wake things up that are in him; or say, to make him think things for himself. The best Nature does for us is to work in us such moods in which thoughts of high import arise. Does any aspect of Nature wake but one thought? Does she ever suggest only one definite thing? Does she make any two men in the same place at the same moment think the same thing? Is she therefore a failure, because she is not definite? Is it nothing that she rouses the something deeper than the understanding — the power that underlies thoughts? Does she not set feeling, and so thinking at work? Would it be better that she did this after one fashion and not after many fashions? Nature is mood-engendering, thought-provoking: such ought the sonata, such ought the fairytale to be.