When I play my playlists, my songs are interrupted by songs that I haven't downloaded. Is there anyway I can stop this?

I have created song playlists, and for some reason when I play my music, after each song ends some random downloaded song that I don't even know of starts playing. I don't know how they came about and I don't know how to stop this from happening. If there's anybody that can help me prevent this "automatic downloading" I would greatly appreciate it. Thank you.