From Longman Dictionary of Contemporary Englishwith your tail between your legswith your tail between your legsEMBARRASSEDembarrassed or unhappy because you have failed or been defeated → tail
Examples from the Corpus
with your tail between your legs• They got scared and ran away with their tail between their legs.• He knows he can not come back with his tail between his legs.• I would go out of the Chamber with my tail between my legs.• And that is when the toughest Bruin team in years sent the Huskies home with their tails between their legs.• Pottz wiped out three waves in a row and crept back in with his tail between his legs. 