As far as nutrition goes lamb and beef are quite the same. But when it comes to which is a healthier source of red meat, then that is lamb.
What makes lamb healthier than beef is the quality of meat. Lamb mostly eats grass whereas cattles are mostly grain-fed. Now cattles can't digest these grains fully and as such it will be difficult for us to digest it, when cooked.
Here's the most descriptive analysis of the difference between the two: Lamb vs. Beef