Why can I see the inside of a room as soon as I cross it, in Unity?
Normally in 3d games triangles can only be seen from one side. Usually this is not a problem because walls have some thickness. Since you clearly have paper thin walls made of only one layer of triangles this is exactly the result you should expect.
In short add the other side to your walls. The simples way is to duplicate the existing triangles and flipping them. Walls will still be paper thin of course. Later you should probably make them thicker.