You have not said which software, nor have you mentioned which DDJ decks you are using, very hard for us to know where the issue lies am afraid, could you provide more info and can you expand on what you mean by "mixing internally" .
The default for most systems is Main or master output is via the RCA ouput and headphones output is selected via the CUE buttons. (cue deck one/three or cue deck two/four)
in Virtual DJ, goto settings, sound output and select your decks from the list at the top, then check that below it says
MASTER "deck name and type channel 1/2"
HEADPHONE "deck name and type channel 3/4"
Don't confuse channel with deck selection on four deck units (eg DDJ-SB2) , when i say channel I mean sound channel (1 & 2 is left and right master, 3 & 4 is headphones )
darkspr1te