If not already present, turn on your document rulers via View > Show Rulers. Does a ¯ symbol appear by itself, or is it accompanied by an inverted triangle below it? The first symbol indicates that you have a First Indent set to other than 0. The inverted triangle says that you also have the Left indent set to the First indent amount.
In Pages, if a First indent is set, any hard return will invoke a new paragraph with an auto-indent corresponding to the First Indent amount. First lines will be indented, and subsequent lines are flush left margin (unless Left indent is not 0). In word processing, we only do hard returns when we deliberately want a new paragraph. If you want to force an end of a sentence, without forming a new paragraph, with/out auto-indent effect, use either shift+enter, or control+enter.
The First, and Left indent settings in Pages v5.2.2 are here:
Toolbar > Format > Text > Layout