First, let us remember that this poem, as with so many of Blake's poems in his Songs of Innocence and Experience, are really meant to be studied alongside their counterparts. In this case, Blake set "The Lamb" against his other great poem, "The Tiger". Both poems are alike in that the speaker in both poems asks who made the tiger and the lamb respectively. Actually, I would take issue with your question, because in "The Lamb", this question is answered, albeit indirectly, whereas it is in "The Tiger" that the question remains unanswered.
The first stanza of "The Lamb" poses the question:
Little Lamb, who made thee?
Dost thou know who made thee?
The rest of the first stanza features excellent examples of imagery that create a picture of the innocence and tenderness of the lamb. For example, we are presented with an image of the lamb feeding "By the stream and o'er the mead" and we also see the wool of the lamb as "Softest clothing, wooly, bright."
It is in the second stanza that we are given the answer to the question posed at the beginning of the poem:
He is called by thy name,
For He calls himself a Lamb.
He is meek, and he is mild;
He became a little child.
Reference to the person who refers to himself as a "Lamb" makes it clear that the answer to the question is Jesus Christ. However, what is key to realise is that this Song of Innocence gives us an easy, simple answer, reflecting perhaps the child-like nature of the speaker. In "The Tiger", the speaker appears to be more adult-like who believes that there are no easy answers to such complex questions. Both reflect different perspectives within Christianity.