Or alternatively, if you are deleting from your library and the underlying file is not being deleted, that usually means that iTunes is not set to be managing your files. By default iTunes does manage your files, but you have the option to do otherwise (maybe you inadvertently changed your settings?)
Check your iTunes Preferences/ Advanced and look for the options "Keep iTunes Media folder organized" and "Copy files to iTunes Media folder when adding to library". If these are both unchecked, then (I believe) that iTunes will not delete the native file, especially if it is outside the designated iTunes Media folder.
If you find that these options were not checked, and you have media files outside the designated iTunes Media folder location, you can consolidate your library to bring all files within the iTunes Media structure:
iTunes 12 for Mac: Change where your iTunes files are stored