Un rayo cayó en Sevilla.
Can you say this out loud? Did you pronounce the ‘y’ and the ‘ll’ differently? Can you ask your Spanish-speaking friends or relatives to say this? Can you ask your Spanish teacher?
Here is how it works: most native Spanish speakers pronounce these two sounds identically. However, that wasn't always the case. Traditionally, the ‘ll’ had a soft ‘l’ sound underneath (like the Italian ‘gli’) that differentiated it from ‘y’. And this happened in many different Spanish-speaking regions (it wasn’t, for example, a Spanish or a Colombian thing). Today, however, that differentiation is almost gone in most places (this phenomenon is called yeísmo, you can look it up). But, people who still differentiate the two sounds usually have very strong feelings about it.
When you asked your Spanish-speaking friends or relatives and/or your instructor, what happened? Did they pronounce the two sounds differently? Do they have strong feelings about it?
Here are some more sentences featuring both consonants:
Espero que hayas hallado lo que buscas.
La olla está en el hoyo.
Oye, ¿tienes mis llaves?
Ask people to pronounce them (especially if you can find a native speaker who differentiates the two sounds), it’ll be fun!
Lastly, if you are taking classes with us, we recommend that you pronounce the two sounds identically. It’s easier, and, after all, most native speakers do it :)
(Here's Dan Berges reading all the examples in his Madrid accent).