S-expressions (short for symbolic expressions) are a data format (like for example XML, JSON, ...). S-expressions are built out of lists, symbols, numbers, strings and other data objects.
Lisp data and code is typically written as s-expressions in an external textual format or created by functions.
Creating a nested list:
CL-USER 1 > (list '* 10 (list '- 3 5)) (* 10 (- 3 5))
The above result is actually a nested list of symbols and numbers, not a string.
Actually executing this list as a program:
CL-USER 2 > (eval (list '* 10 (list '- 3 5))) -20
eval, but the source code is a string