The earliest record of the Little Bo Peep lyrics was sometime around 1805 and only includes the first verse.
There are a couple of stories about the origin although nothing seems to be written in stone. What I have read is nothing to be shared with children in any way. This may simply be a rhyme where the true history has been lost.
There is a character, a ceramic doll, in the movie Toy Story that children may be familiar with called Bo Peep.
When I taught the rhyme I simply left it as a cute story of a young girl who was tending sheep and that many times animals are very smart and will find their way home.
This also led to discussions on what if they don't come home, or only some come back... so we discussed how there may be times when a child needs an adult to help them and that a child should never be afraid to ask for help when they need it.
Little Bo Peep has lost her sheep,
and doesn't know where to find them. (or.. and can't tell where to find them)
Leave them alone and they'll come home,
wagging their tails behind them.
While most children are only taught the first verse, for reference... here are the other verses. It's fairly easy to see why parents and teachers stop after the first verse...
Little Bo-peep fell fast asleep
and dreamt she heard them bleating;
But when she awoke, she found it a joke,
For they were still a-fleeting.
Then up she took her little crook,
Determined for to find them;
She found them indeed but it made her heart bleed,
For they'd left their tails behind them.
It happened one day as Bo-peep did stray
Into a meadow hard by,
There she espied their tails side by side,
All hung on a tree to dry.
She heaved a sigh and wiped her eye,
And over the hillocks went rambling,
And tried what she could, as a shepherdess should,
To tack each again to its lambkin.
Here's the coloring pages to go with the rhyme...