The rhyme is thought to date back to at least the sixteenth century and there are several theories bout its meaning.
One is that refers to star consellations; another that it is about anti-clerical feelings; another that its about Catherine of Aragaon; another Catherine, wife of Peter the Great and the list goes on; I like to thinks its just a bit of nonsense to amuse kids
Hey Diddle Diddle,
The cat and the fiddle,
The cow jumped over the moon.
The little dog laughed,
To see such sport,
And the dish ran away with the spoon