What did I drill into?

Hi,

First time DIYer here. I was drilling into a wall with my drill bit and when the bit came out it had some yellow plastic looking material stuck on it.

Also had a weird smell like burning chemicals from the friction on the bit.

I don't smell gas and there's no water leaking.

Does anyone have an idea how I can figure out what I drilled into?

Thanks,

EDIT: Thank you so much for the help everyone! I have attached a picture of the yellow material that got stuck on my drill bit as I pulled it out of the wall.

After I pulled out the drill bit, this yellow material was stuck on the end and fell off.

The wall was an interior exterior wall ~7 ft high to the upper right of a window I'm installing a curtain for:

The yellow material came out of the upper hole I drilled into. Lines are pencil marks I drew on the wall.

(Many apologies I didn't include this on my first post, but I couldn't figure out how to use the fancy editor on reddit mobile app. This was my first post on reddit also...)

EDIT 2: There are no electrical outlets near or beneath the window I was drilling into.