Jesus sent his disciples back to Bethsaida by boat. Jesus stayed behind to wrap things up with the 5,000 and take some time to pray privately on a mountainside. Remember, that's what Jesus was hoping to do before the crowds gathered (Mark 6:31). When He was done, He saw that the disciples were rowing against strong winds. The passage says here that Jesus was walking on the lake! That's a little... unusual, isn't it? But it's no mistake - Matthew and John both corroborate the incident.
The last phrase of this passage is "for they had not understood about the loaves; their hearts were hardened." I'm not sure how Jesus' miraculous feeding of 5,000 with a few fish and a few loaves of bread would cause the disciples to "expect" to see Jesus walking on a lake toward them as they're rowing on a boat, but that's what the phrase implies.
So if we're not understanding enough about God's power - that absolutely nothing is impossible for Him - then we're still just like the disciples, with hardened hearts and lacking understanding.
Jesus didn't do these things to impress the disciples, and He doesn't do things like that to impress us. He does these miraculous things so that God will be glorified. That's one of the main purposes He created us: to give Him glory! The disciples were described as having hard hearts - if that was the case, what does that make us?
When you struggle in life, and God stretches forth His hand to calm the winds of your struggles, do you recoil in fear? Do you look around to see if someone is pulling some invisible strings? We would do well to praise God and not ask so many questions, to soften up to the possibility that God is intervening on our behalf and giving Him glory. "Take courage! It is I" (Mark 6:50).