Pedal threads are different from left side and right side. L / R signs are marked on the spindle of the each pedal, make sure they are assembled on the right side (when you ride on the bike, left pedal on your left hand, right pedal on your right hand).
The right side pedal has a right-hand thread(removes counterclockwise, installs clockwise). The left side pedal has a left-hand thread (removes clockwise, installs counterclockwise). Thread both pedals into the crank arms as far as you can by hand.
Then Fully Tighten them with the wrench. If the pedals are not fully tightened, it may get loose and damage the threads. Please refer to the following video for reference.