South Africa as a political entity is the result of the Union of South Africa gaining independence from the British. The Union of South Africa was formed by the British who united 4 other separate colonial states (Cape, Natal, Transvaal, Orange River) into a single one, because of the Boer wars and because the colonial states kept having fights over resources and trade profits. Lesotho (then called Basutoland) was a big population center of native peoples, enough to be considered an existing state by the colonialists. It ended up being a protectorate of Britain. The Union of South Africa tried to petition Britain for Lesotho to be annexed by them, but Britain had granted Basutoland some autonomy and rights of self-governance. Basutoland's king resisted this motion, so Britain couldn't do anything about it short of violating their treaty with Basutoland. A few decades later (1930s) South Africa became independent, while Lesotho remained a part of the British dominion, until the 1960s when it declared its independence.

At that point, South Africa had implemented full-blown apartheid, and Lesotho, with its majority native African population, couldn't possibly join up. They opposed apartheid from the beginning and many political refugees ended up finding asylum in Lesotho over the years, until the abolition of the apartheid in the mid-90s.

However, right now there are many people within Lesotho who are arguing for annexation by South Africa, since apartheid is over, and since Lesotho has ended up being one of the poorest countries in the world, with a massive AIDS epidemic and political instability (while paradoxically still retaining one of the most progressive constitutions in the continent of Africa).