J’y pense quand je marche au bord de la mer.

Here y replaces à cela, à ça, or à quelque chose.

The verb pattern is penser à + thing = to think about something.

So:

• Je pense à mon enfance. = I think about my childhood.
• J’y pense. = I think about it.

In your sentence, y does not mean a physical place. It stands for the thing the speaker is thinking about.

Because je becomes j’ before a vowel sound.

Since y is pronounced like a vowel sound, French uses elision:

• je pense
• j’y pense

This is the same idea as:

• j’aime
• j’habite
• j’écoute

Because French says penser à quelque chose for to think about something.

When a verb uses à + thing, French often replaces that whole part with y.

Examples:

• Tu penses à ton travail ? → Oui, j’y pense.
• Elle pense à ses vacances. → Elle y pense.

So y is the normal pronoun replacement for à + thing here.

This is a very common question.

• penser à = to think about
• penser de = to think of, to have an opinion about

Examples:

• Je pense à mes amis. = I’m thinking about my friends.
• Que penses-tu de ce film ? = What do you think of this movie?

In J’y pense, the meaning is I think about it, so penser à is the correct one.

Because the subject is je, so the verb must be in the first person singular:

• je pense
• tu penses
• il/elle pense

So:

• Je pense
• J’y pense

Even though English says I think, French does not add an -s for je here.

Quand means when.

So:

• J’y pense quand je marche... = I think about it when I walk...

It introduces the time when the action happens.

You could also see lorsque in more formal French, but quand is the most common everyday word.

Au bord de la mer means by the sea, at the seaside, or more literally at the edge of the sea.

Breakdown:

• au = à + le
• bord = edge, side, shore
• de la mer = of the sea

So the whole expression gives the idea of being along the shore or coastline.

It does not usually mean literally standing at one exact edge point; it often just means being near the sea.

Because the meanings are different.

• à la mer is not the natural way to say by the sea in this context.
• au bord de la mer clearly means along the seaside / near the shore.

French often uses set expressions for location, and au bord de is the normal one for by, on the edge of, or along something:

• au bord du lac = by the lake
• au bord de la rivière = by the river
• au bord de la mer = by the sea

Because bord needs a complement: the edge or side of what?

So French says:

• le bord de la mer = the edge/shore of the sea
• le bord du lac = the edge of the lake
• le bord de la route = the side of the road

In your sentence, de la mer tells us what the speaker is walking beside.

In a simple conjugated verb phrase, object pronouns like y go before the verb:

• J’y pense.
• Tu y penses.
• Nous y pensons.

With negation:

• Je n’y pense pas.

With an infinitive, pronouns usually go before the infinitive if that is the verb they belong to:

• Je vais y penser. = I’m going to think about it.

So in J’y pense, y is in the normal pronoun position.

Yes, y very often means there:

• J’y vais. = I’m going there.

But here it does not mean there, because it is linked to the verb penser à.

With penser à + thing, y usually means about it:

• Tu penses à ton examen ? → Oui, j’y pense.

So the meaning depends on the verb and what y is replacing.

Because simple present tense in French often covers ideas that English can express with either the simple present or the present progressive.

So je marche can mean:

• I walk
• I am walking

In this sentence, the context makes it clear that it means something like when I’m walking by the sea.

French usually does not need a special progressive form unless the speaker wants extra emphasis.

A natural pronunciation is roughly:

zhee pahns kahn zhuh marsh oh bor duh lah mehr

A few useful points:

• J’y sounds like zhi
• pense has a nasal vowel, so the en is not pronounced like a full English vowel + n
• quand also has a nasal vowel
• au sounds like oh
• bord has a silent final d
• mer sounds like mehr

In connected speech, the sentence flows quite smoothly, especially between quand je marche.