I will paraphrase each stanza below:
I had heard of Lucy Gray, and when I was out walking one morning, I saw her playing alone.
She had no playmates, and she lived on the moor. She was a very sweet little child.
One might still see a baby deer or rabbit in the fields, but no one will ever see Lucy Gray again.
One day, Lucy's father told her to take a lantern and go to town to help her mother home through the coming snowstorm.
She dutifully went, not scared at all because it was still mid-afternoon.
Lucy's father went back to his work, and Lucy took the lantern and set out.
Lucy went wandering innocently along, kicking up the snow for fun as she walked.
But the storm grew bad. Lucy continued on through the snow, but she never arrived in town.
Her parents desperately searched for her all night, but they could find no trace of their daughter.
In the morning, they felt she was lost to them. They looked out over the fields at a wooden bridge near their home.
They cried together and started for home, hoping to meet Lucy in heaven, when her mother found Lucy's footprints in the snow.
Lucy's parents followed the prints down a hill, through a hedge, and near a wall.
They continued following the prints across a field and to the bridge.
The followed the prints right up onto the bridge, and in the middle of the bridge, the prints inexplicably stopped!
Many people say that Lucy is still alive and that you can see her on the moor.
She plays alone, as she did in life, singing a song and never looking back.