Locations to switch between WiFi and Ethernet
The issue may be the order in which your Mac is looking to connect to a network. You network preference pane should list options like these for connecting to networks:



First check what the status is for your ethernet connection. Mine says "Cable Unplugged" because it is. If your says it is plugged in, but your connectivity is still via Wi-Fi, click the gear icon below that list and select "Set Service Order":



You'll then get a list like that allows you to reorder your network connections:



Simply drag "ethernet" to the top and that should solve your problem.