Something that is documented has been written down or recorded. Even if you cannot yet bench-press your 500-pound goal, keeping a written log of your workout schedule at least ensures that your fitness efforts are documented.
Documented evidence is often in writing, but not always. A documentary, for example, is a true story that has been documented in film. Similarly you can create a documented case that your brother is stealing your T-shirts by videoing him opening your closet door and taking pictures of him in one of your shirts. Documented can also describe an event or a discovery that has been proven—such as "the documented discovery of a dinosaur fossil in your backyard."