Change colors when I import a JPEG file in Indesign

There are a couple of ways a placed RGB image will preview as CMYK—or how it is expected to print assuming the output device profile matches your document’s assigned CMYK profile. If you turn on Overprint Preview, or if there is any transparent object or effect on the spread and your Transparency Blend Space is set to CMYK.

InDesign doesn't have a document color space—a document page can have a mix of RGB, CMYK, Lab or Grayscale objects. The Overprint and Transparency Blend Space setting only affects the preview and doesn't change the actual color values or color space of the page items.

Probably your inDesign document is intended for print? and this way it's CMYK mode

When you use RGB (saturated) images they are converted to CMYK space and it makes difference

Your JPEG image is too saturated to print as CMYK

That is the difference between RGB and CMYK gamuts. Depending on your color blend space mode and color management settings, you will see this as soon as some form of transparency (alpha channel for png, tiff, psd or a effect like drop shadow) is involved.