The evidence for this claim lies in the fact that our consciousness is based on our brain and our body, there is no immaterial or outer substance that constitutes our consciousness. For this reason, the only way how consciousness would come to be is through our brains (there is some evidence for this as well). What this means is, that a physical change occurs in the brains will be perhaps accompanied by a change in our mental state (and possibly consciousness). This isn't always the case though.