It's a just a puppet, silly. It surely can't hurt you. I mean, it doesn't even have any strings attached, so it can't possibly move on any accord, other than the one of placing and dropping, similar to plushes and dolls. So then, how did it get here?
Robot.
Your father, in a foolish attempt to give you a maternal figure, put together a robot for you to have as like a nanny. The robot's name was in fact N.A.N.N-E. Neural Automaton for Navigating Nannying to Education. Of course, he built it using soul-like materials, so it grew a mind of its own and decided to become an evil and torment you with various fauna of this circus, such as puppets. However, NANN-E's idea of tormenting is simply leaving the fauna behind you and waiting for it to scare you. Additionally, it likes to take items from around you, such as books or toys, and hide them in some unknown place.
This gives you an idea...