What do you feed a baby lizard?

This question cannot be answered, because you did not specify a species of lizard. Lizards are a huge order of animals ranging from minute insectivores that can sit on a dime, to enormous carnivores that bring down deer and devour them in chunks. They include strict herbivores like the green iguana, and omnivores such as the blue-tongued skink, that eat insects, meat, worms, eggs, fruit, and vegetables. The popular pet crested gecko eats small insects and fruit in the wild, and is maintained on a powdered formula (crested gecko diet meal replacement powder) that is served mixed with water, in captivity. Leopard geckos are generally maintained in captivity on a diet of store-bought crickets and mealworms. Lizards that eat insects should be offered insects no larger than the space between their eyes, and supplements are necessary in captivity.

What baby lizards eat depends on the species of lizard.

If you have captured a lizard, baby or not, and are not already sure of what it eats, then the ethical thing for you to do would be to release it where you found it.