An unknown substance turns methyl orange solution red. this shows that the substance

is acidic in nature

Explanation:

Acid base indicators are usually weak acids or weak bases. They change their color in the solution with change in the pH.

For any indicator say HIn , the dissociation can be shown as:

Methyl orange is one such indicator which shows red color in acidic medium and yellow color in basic medium.

Thus as the color of the methyl orange has turned red, the solution must be acidic in nature.