tail between one's legs
tail between one's legs {n. phr.}
State of feeling beaten, ashamed, or very obedient, as after a scolding or a whipping.
The army sent the enemy home with their tails between their legs.
The boys on the team had boasted they would win the tournament, but they went home with their tails between their legs.
(So called because a beaten dog usually puts his tail down between his legs and slinks away.)
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Source: A Dictionary of American Idioms