The setting of "The Lamb" is almost a caricature of British country life, complete with pastoral imagery depicting charming shepherds and sheep. Don't take our word for it: Blake published the poem as an illustration (check it out here). This watercolor painting includes a fair-haired boy petting a small lamb on the nose while the rest of the flock grazes behind them. In front there's the gentle "stream" from line 4. Unlike the poem, Blake's watercolor painting also has a small cottage spouting chimney-smoke.
Blake is often labeled as one of the Romantic poets, and the setting of "The Lamb" is Romantic in the sense that it finds the workings of the supernatural within the rhythms of nature. But neither the poem nor the painting are particularly Romantic compared to the works of later British artists like the poet Percy Shelley or the painter J.M.W. Turner. These artists might have depicted the lamb beside a cascading waterfall amid a fantastically lit jungle of green foliage, the whole scene tossed by gale-force winds. For them, nature wasn't merely beautiful; it was sublime, meaning its mystery and greatness could never be measured or fully understood. Some of Blake's later works contain this aspect of the sublime, and you could even argue that "The Tyger" has this element too, but "The Lamb" belongs to an earlier and – dare we say? – more innocent age.