EDIT: As others have explained below, it is important to avoid doing this, and always scale and rotate the curve in edit mode.
Incase others get stuck when adding the curve modifier, and finding that it doesn’t align when selecting any axis.
Most likely means you scaled the bezier circle in object mode – which means you have to apply the scale and rotation to avoid strange things happening.
Select the BezierCircle > Press Control + A > Select Rotation & Scale
This fixed it for me, I was confused for a while as this is easy to forget sometimes.