Puppies spend at least the first nine weeks of their lives with their littermates. So when they leave the litter for their new homes, it's a large adjustment. They don't understand why they're alone and they do miss their playmates, although they probably won't recognize them later in life. If the breeder has socialized them properly, the adjustment will be easier.
Make your puppy's surroundings as familiar as possible when you bring her home. Bring a small towel home with the scent of her littermates. Prepare a crate for her to sleep in so she'll have a den of her own to help her feel secure. Put the towel with her littermates' scent in the crate to comfort her.
Puppy Play Time
Acclimate your puppy to her new home by interacting with her as her littermates did. Puppies in the litter alternate between very active play periods and naps. Give her periods of exercise and activity daily. Puppies nap a lot, and she'll sleep better if she's tired. When you can't be with her, keep the puppy in her crate with the towel from her litter.
Socialize Your Puppy
Puppies should remain with their dam and litter until at least 8 weeks of age to minimize behavioral issues later. The breeder should socialize them by exposing them to children, other adults, different sounds and experiences. Continue this training with your puppy, once she has been examined by your veterinarian and has had her puppy shots.