With your tail between your legs
Definition 1 of 1
Pro Tip 1/3Visual Imagery
The phrase paints a picture of a defeated dog, which can help you remember its meaning. 
After the argument, Mike left the room with his tail between his legs.
Pro Tip 2/3Figuratively Speaking
It's a metaphorical expression; no actual tail is involved. 
Losing the game, the team walked off with their tails between their legs.
Pro Tip 3/3Not Literal
Don't use this phrase to describe physical movement; it's about feelings of shame or failure. 
She felt she had to apologize with her tail between her legs after being rude.