The speaker of this poem is a child asking a literal lamb if the lamb knows who made it, but the Lamb is also a symbolic or metaphorical name for Jesus Christ who, as part of the holy Trinity, is God. This child speaker knows that the Lamb is made by God and is celebrating God's and Jesus's love for all the creatures in the world. The literal level of the poem is especially noticed in the first stanza of the poem where the speaker is talking about the life and experience of a lamb who "feed / By the stream and o'er the mead," and who would have clothing "woolly, bright," and who has "such a tender voice" (baa baa).
In the second stanza the speaker plays with the seeming riddle of the question "who made you." It is like a riddle because the "he" that made the lamb is the "Lamb of God" or Jesus, who is God. The speaker says "He is called by thy name / For he calls himself a Lamb." God became man, born as a child, when Jesus came to earth to take away the sins of the world, and therefore the repition of the final line suggests the two meanings of lamb. We should bless the lamb as a creature of God's making, and we should bless (pray to/for the Lamb who is Jesus, the Redeemer.
The attitude of the speaker and the delight of the understanding of faith and God shown in this poem perfectly suit its inclusion in the Songs of Innocence collection of poems by Blake.