A candle goes out and a little maid has wandered off, so someone saddles a hog and bridles a dog to fetch her home. The mixed-up animals are the joke, and young listeners tend to catch it fast.
From Mother Goose / Nursery Rhymes (traditional). See the whole collection.
High diddle doubt, my candle's out
My little maid is not at home;
Saddle my hog and bridle my dog,
And fetch my little maid home.
Public domain. Text from The Real Mother Goose (Blanche Fisher Wright, 1916), via Project Gutenberg. View the source edition