William Blake`s `The Lamb` is one of the Poems of Innoncene. On a literal level the lamb is young, and therefore innocent. On a symbolic level, this poem refers to Christian theology.
On a general level, the lamb, because beast, not human, has not participated in eating of the Tree of Knowledge and is thus innocent and unfallen. The white colour of its fleece signifies purity.
More specifically, in Christian iconography, the lamb refers to Jesus, who is the `Lamb of God who taketh away the sins of the world.`The Jews would sacrifice lambs on Passover, lambs that had to be perfect and unspotted. Jesus, as the only man born without sin, was the human equivalent of the perfect lamb, `(òne perfect sacrifice and oblation for the sins of the whole world in the Book of Common Prayer) and his sacrifice reconciled God and man.
Since the Church of England was the state church when Blake was writing, the two major sources for Christian theology with which you must be familiar to unsterstand his work are The Book of Common Prayer and The Authorized Version of the Bible.