Paul Collier said he found the 'tiny, little girl' walking down the busy Grimsby Road in the early hours of the morning wearing pink pyjamas and carrying a pink cuddly elephant toy.
The little girl told Mr Collier that her mummy was sleeping and that she wanted a drink.
Shocked Mr Collier, 58, had been driving past Tesco when he spotted the girl, and immediately called the police.
He told his local newspaper that he 'couldn't believe it'.
"Where were her parents and how did she get out of the house?" he asked.
"It was ridiculous, it could have been anyone who picked her up. This little girl was so trusting I think she would have got in anyone's car. I was in absolute shock more than anything else. It just felt like a dream."
The police returned the girl to her mother shortly after, and are now said to be working with North East Lincolnshire social services to find out how she came to be out on her own.
A spokesperson for Humberside Police confirmed that officers were called at 4.30am by a member of the public who 'found a small child in the streets of Cleethorpes'.
"The child was, after a short time, returned to her home address and mother's safety. Officers are now working with social services to establish the circumstances of the incident," they added.
Mr Collier said his colleagues at work were shocked when he told them what had happened.
"No one would believe me," he said. "My wife was livid when I told her, she couldn't believe a child so young would be able to get out and walk the streets alone.
"I couldn't stop thinking about it all day afterwards... all the 'what-ifs'. Imagine if I hadn't stopped and then I heard a child had gone missing.
"I could never forgive myself – although there were a lot of cars on the road that didn't stop.
"She was such a chatty, jolly, little girl which made me think she might not have been taught not to talk to strangers and that's what scared me the most. I am just glad it was me who stopped and no one else."
So shocking - but what a relief the child was picked up by such a good Samaritan.