This is due to antialiasing effect. The antialiasing effect soften the borders for integrate the image with the background, This is achieved by creating intermediate colors between the color of the drawing and the background color
This has two possible solutions:
1.- Work without antialiasing, but you will view sawtooth around the sprite.
2.- Work with antialias, but with a real transparent background (not a background color, simply NO color, this is empty pixels) and export the sprites as png with alpha channel transparency, in this case, antialiasing effect will be created with intermediate colors between the color of the drawing and the transparent color.