Baby Lamb tells Cow and Ricky about the story of the First Christmas, when the baby Jesus was born. Then, he shows Ricky his evidence of Santa Claus, and that's a lollipop. Ricky thinks it's stupid, but lollipops are Baby Lamb's favorite type of candy. Meanwhile, the Police Crew are trying to figure out a way to teach Mark the true meaning of Christmas.
Baby Lamb & Cow are mad at Ricky for embarassing them at the mall, but Ricky doesn't care because he can tell Santa isn't real since he can tell the mall hires a new Mall Santa every year. He says he won't rest until he finds out the truth about Santa, and he unknowingly sits on a whoopee cushion. Cow's laughing because that's a present that he's bought for someone. Ricky also asks how did Christmas actually begin, so Baby Lamb begins to tell the story of the First Christmas.
A long time ago, a couple named Mary and Joseph were blessed with a beautiful baby boy, born on a manger in Bethlehelm. A beautiful star shined on the baby and it attracted a trio of wisemen who brought frankencense, gold, and myrr for the baby. An angel rose from heaven to bring tidings of great joy. Baby Lamb finishes the story by saying the star is like the star on top of the Christmas tree and the gifts the wisemen brought are like people giving presents to one another. In the end, the baby grew up to become a holy teacher. Donny comes up to them and asks if there's any evidence that Santa's real. Ricky and Baby Lamb begin to argue over whether or not Santa's real until Donny breaks them up. Baby Lamb then brings a lollipop that Santa left in his stocking last Christmas, claiming it to be evidence that Santa's real.
Ricky is unimpressed, but Baby Lamb treasures it because lollipops are his favorite kind of candy and begins to sing about them. Ricky is now completely bamboozled and still believes that Santa's fake, everyone else is living in a fairy tale of lies, and Santa Claus is a scam parents make up to get their children to behave during the holidays. In anger, Ricky leaves.
Derek tells the crew why Chief Mark hates Christmas, so they try to figure out a way to help his Christmas spirit return to him.
- Baby Lamb
- Alphabet Pal
- Donny Dolphin
- Officer Derek
- Officer Patricia
- Officer Marvin
- Officer Aaron
- This episode reenacts the famous Nativity scene from the Bible, with Baby Lamb playing Joseph, Alphabet Pal playing Mary, Peep playing the Baby Jesus, Cow playing the donkey, Belle playing the Angel, and the Nutcrackers playing the Three Wisemen.