Being on the same wavelength is similar to the expression "We're totally on the same page" or "Great minds think alike" It means that you and the other person are similar in thinking at that very precise moment. Often this happens when you voice a thought and someone else says the exact same thing or something similar. It just means you had the same opinion on something about a certain topic, issue or whatever.
"That skirt is to die for. It would go so well with the heels I bought last Saturday"
"Was just thinking the exact same thing!"
"Haha, we're on the same wavelength I guess!"