Outgoing links in civimail getting changed to civi site address
If you set your mailing to track clicks on links, it automatically replaces every link with an auto-generated CiviCRM url - this will redirect to the original link, but has to go through CiviCRM to be tracked.

If you haven't chosen to track clicks, or if the CiviCRM url just goes to your site without redirecting, then there's a problem, but otherwise it's intentional.