Raspberry PI zero w + Relay HL-56S v1.0
You have the lamp connected through the &quot;Normally Closed&quot; contact of the relay (which I can barely see if the photo is brightened and contrast reduced to extremes). So the fact it's not turning off indicates that the relay is not actually pulling in.

You have purchased a 12V relay module, so it needs 12V to operate. The LED only indicates that the input signal to the optoisolator has been received, not that the relay is functioning.