how did you get baby Shovel knight?

That's the Fairy of Shovelry! You unlock it by visiting Madame Meeber in the village (she's next to the old man by the right exit) and then using the Shovel Knight amiibo. You can even summon the fairy in the other playable characters' stories as well. :)

I can't find it.

Do you have the latest version of the game? Check the options menu and see if it says "3.0A" at the bottom. If it has a different number, then you need to update the game!

I do have it.

Then she should be right there!

It isn't for me.

I am using the new game plus.

That's really strange, I'm not sure why she's not showing up for you. She appears on both regular game and NG+ for me. :/ Maybe you have to activate the amiibo in the menu somewhere first? It's been a while since I used it for the first time, so I don't remember if I had to do anything like that.

Maybe I have to get farther in the game.

Do you have to get Treasure Trove?

REALLY!?!

Oh hey, hopefully she'll appear for you now!

She did!