The title "The Song of Wandering Aengus" tells us a couple of important things about this poem. First of all, it tells us who the speaker is: it's—wait for it—Aengus. Who's Aengus? He's a god of love and beauty in Celtic mythology. The reference to Aengus in the story, in other words, tells us that we're going to be diving into the world of Celtic myth.
The word "Wandering" in the title is also important because it points to the way that Yeats revises the original myth of Aengus. In the Celtic myth, Aengus falls in love with a beautiful girl, but then she turns into a swan and he has to go looking for her. Eventually, he manages to find her in her swan form and the two lovers are reunited. In Yeats' poem, Aengus doesn't actually find the girl (sad times). He goes "wandering" everywhere in search of her, but—no dice. So Yeats' poem puts an emphasis on this idea of searching and seeking for something (or someone) that we can't find. The title prepares us, then, for the harsh truth of this poem: if you're looking for a happy ending, you'd better look somewhere else.