leave, go off, etc. with your tail between your legs

to leave, feeling ashamed and embarrassed because you have failed or made a mistake:

夹着尾巴（逃离）

The losing team went off with their tails between their legs.
His team retreated last night with tails tucked firmly between their legs.

I thought, “Within a week he’ll be back with his tail between his legs.” – McQueen