Firstly, congratulate yourself because you made characters real enough that they can surprise even you! Note: keep telling yourself you're perfectly sane, despite the fact there's voices in your head that have taken on a mind of their own... I won't judge you. I would advise you don't go telling people who don't write that this is what you're experiencing...
Secondly, you're probably feeling something like this:
Everything is just back asswards. Depending on the severity of the change, you might be able to write it out, things might shift a bit but overall the integrity of your story should stay intact. This is where I am right now, not derailing but shifting the track a little.
You could also be sitting in front of your screen going 'noooooooo!' because you have to change everything now. Suddenly your character is from another part of the world and has an accent or suddenly they're not a pirate, but a part of the royal navy. So in story world, your character just crated anarchy on a dime.
How I've got through both the easier and the harder situations brought on by rogue characters:
1. If you fall under group one, where your character has only gone a little off there's a couple things you can do. If you've planned your story then you can try and guide your character back into the master plan. If that fails, assess the plan and not the character. Find out if there's another way to reach the end goal you desired. There's a lot more space between the mid-way point and the end of your story than you thought. In many cases, you'll still be able to do this if you still want things to turn out the way your originally planned.
For example:
You planned that your MC (lets call her Sally) would be kidnapped, taken half way around the world and your second MC (we'll call him John) would find her in Italy in the end. The lovers would be reunited and the bad guys turned over to the feds. But SURPRISE! Half-way through your story, you learn that Sally is a fighter. This changes things doesn't it? So we go back and look at the plan. The main goal I'm looking for is that the lovers are reunited and the bad-guys are gone. So I decide that Sally escapes once they arrive in Italy. Meanwhile, John is hot on their trail. With Sally being a fighter, I decide they pair fight off the bad guys and escape with their lives. Lovers reunited? Check! Bad-guys gone? Check!
Of course if you're a pantser, you might just take this type of rogue and run with it. See where they're trying to go. It's always an interesting way to explore, just beware of pointless adventures your characters may want to run you around on. Try and gain some idea of where they should be headed, to avoid this and stay on task.
2. If you've got yourself a wild one you're probably feeling very frustrated about now and you fall in group two. This is obviously the more difficult of the two because no matter how much you try to turn focus on the plan and tweek it, you know that you're more than likely going to have to throw the whole thing away. Some things are easier to fix than others and mostly it's going to come down to editing. Unfortunately there's a lot less you can do in this case. If you are writing for fun and not for something with a deadline you can make your big changes now. If your character has an accent now, go make it so. If your character is actually sailing with the navy, make those character adjustments now. Of course, if you're writing for fun you can also scrap it entirely and start over but that's not very encouraging.
If you are on a timeline your best bet is to make the changes now and keep going. If you're participating in something like Nanowrimo where your word count is everything do not scrap and do not re-haul. I know that going back and editing was one of my tips, but something this big will eat up way to much time and you'll be deleting way too much. If the change is vital and will drastically change your story you may edit. Not like my MC was a pirate and is now a royal navy officer chasing the pirates where you're just switching the perspectives. Heck you can keep most of the characters and change their dress and you're good to go. Though it's annoying, keep writing you've got time to edit later! I'm talking about like my MC decided he's a she and is going to be saved by the pirates. Go back and edit what's necessary because that's going to be completely different as that character is likely going to spend a chunk of the story nowhere near a pirate ship, or a ship of any sort. Scavenge what scenes you can, if you've got a drunken party on deck one night, have your character forced into the middle of it. Use what you can and don't just think 'I can re-write this anyways.'.
If your pirate decides he's a pop star I've got nothing. I don't know why the hell you thought he was a pirate, so you better scrap that and go re-think your choices.
