You can find some really great online Christian articles/studies about why theologically Jesus is the "Lamb of God" (including where it was prophecied in the OT). You can find the term Lamb applied to Him in the Bible, for example, John 1:29, Revelation 5:6, Revelation 5:8-9, 1 Peter 1:19, and so on. More about Jesus' sacrifice you can read about in the book of Hebrews (for example, chapter 9),and of course all over the four gospels. Hope it helps.

A 1st born male lambs blood was put on the Hebrews doorposts in Egypt and the Angel of Death would turn away when he saw it, any doorposts without the Lambs blood would have their baby son die