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.
About this rhyme
This is a nonsense rhyme, and proud of it. A candle goes out, a little maid isn't home, and the answer is to saddle a hog and bridle a dog and go and fetch her. None of that is meant to make sense; the fun is in how solemnly it's said. Try saying the last line slower each time, like you're really setting off on the rescue.
Public domain. Text from The Real Mother Goose (Blanche Fisher Wright, 1916), via Project Gutenberg. View the source edition