The mistake in the sentence is the use of "by" instead of "but". The word "but" is needed to introduce a contrast between the two clauses.
Corrected sentence:
"Yeah, I remember the first time I traveled alone. It wasn't a long journey, but it had me thrilled and a bit nervous also, to be honest."
Additional suggestions:
Other possible improvements: - You could replace "also" with "too" to make the sentence sound smoother:
"It wasn't a long journey, but it had me thrilled and a bit nervous too."