Modern keyboards are based on those found on typewriters, and while they have several digital-specific innovations like the delete key, they also include many quirks and symbols that date from the era when typewriters were the primary means of official communication.
When using a typewriter, one did not just type forever as we now do. The paper fit into a sliding mechanism called the carriage (because it carries the paper), which, whenever a key was hit, moved the paper to the left the distance of one letter, making space for the next one. Eventually you would reach the edge of the paper or the carriage would reach its leftmost position, at which point the typist had to perform a carriage return, returning the carriage back to the right, which advanced it to the next line as well.
This action was originally performed with a lever, and you pushed over the whole carriage to its first position with a satisfying thunk. (Many carriages had a little bell that rang when ready for return, which you often hear in media set in this period — clack, clack, clack, ding, wham!)
Electric typewriters, however, added an extra key on the right that performed the carriage return for you. Because it took the active position of the typewriter down and to the left, it was often labeled with an arrow of that type, or was shaped that way.
That is its origin when you hear the key referred to as “return.” But what about “enter”?
This may be apocryphal, but in the older days of computing, most work was done in a text-based command line, often meaning work took the form of writing one line of code at a time. To hit “return” at the end of such a line meant that this code was “entered” into the computer’s database the way one make an “entry” in a ledger. But as the action also resulted in a fresh command line, the down-left arrow from the carriage return days still applied. “Enter” also appeared on calculators and number pads, and “enter” would have had the same connotation now.
The keys are now almost entirely equivalent, and may be labeled with either name or just the arrow.