The poem introduces its main theme right at the start. From the first line onward, the poem focuses on the nature of creation (and, indeed, the creation of nature). The first three lines—and the rest of the stanza—set up a question that the second stanza will answer. While the poem specifically discusses the lamb, the lamb is also a kind of representative of the entirety of God's creation.
Behind the poem's opening question is a sense of marvel at the world God has made. The speaker uses apostrophe to address the lamb and ask it whether it has any understanding of its own existence. The lamb is a delicate and vulnerable figure, represented by the sweetness of the alliteration "little lamb." In fact, the first three lines are very euphonic, balancing delicate consonants with assonant /e/ and /o/ sounds that are pleasing to the ear. From the beginning, then, a link is drawn between beauty, nature, and God. The poem is in part a hymn to the majesty of God's creation, and so the sounds throughout are appropriately beautiful.
There is also a kind of personification at play here. The speaker addresses the lamb as if it might understand the question and even offer a response. However, it's more nuanced than pretending that lambs can speak. Because the lamb is an expression of God (as outlined in the second stanza) and his creation, the lamb's mere existence is already a part of the conversation. That is, the lamb can provide an answer without being able to speak, and the implied personification underscores this point.
Finally, the mention of "giving life" and "bidding" the lamb to "feed" (which essentially means inviting or encouraging the lamb to eat) highlights the idea that God is the great designer of the universe—it exists because of his will and guidance. This is an expression of what is called the teleological theory of God, which argues that the universe was made by God with a particular design in mind.