Southern means from the south, like a southern breeze. But if you call a group of people “y’all,” you might be Southern, a word which refers to the American South and usually gets a capital “S” — and a side of hush puppies.
A southern breeze happens when wind is moving from the south to the north, and the Southern Hemisphere is south of the equator. When southern refers to the direction, it’s not capitalized; when it's used in the name of specific place, however, it is capitalized. Southern comes from south, which derives from a Germanic word meaning "sun-side."