Not one of the better known Mother Goose rhymes, but one with a grim story behind it. From Compton's Encyclopedia:

'Bessie Bell and Mary Gray' is thought to be based upon the sad tale of two girls of noble family. To escape the plague which broke out in Perth about the middle of the 17th century, the girls built a bower outside the city. Here they lived for some time. They caught the plague from a young man who brought them provisions and who was in love with both of them. The girls died of the infection and according to law could not be buried in the churchyard. They were interred under a tree at the foot of a 'brae' (hillside) near the river Almond.'