Sorry for my language, but my student has just found this phrase somewhere and I'm not quite sure how to explain it.
As it (subtly) asks for more than a mere translation, I don't mind answering this one.
It's tough to be let down when you don't expect sh**.
Breaking it down:
It's tough = It's difficult
to be let down = to become disappointed by something
when = in this case, a copula referring to a time or situation
you don't expect sh*t = you don't expect anything at all
Usage of the slang term sh*t here is in place of nothing, but use of nothing would also not be correct due to double-negatives, so the best translation for the word sh*t in this case is anything at all, such that the phrase actually reads, in meaning:
It's difficult to become disappointed by something when you don't expect anything at all.