The machine came with a manual that specifically tells you how to set up to start sewing. You may want to read it.

You do not have long enough thread tails going back to the end of the machine under the presser foot after you thread the needle. Every time you start to sew, the uptake lever, which is probably not in its highest position, takes any thread you have out of the needle.

First, Read the manual. Then Check the bobbin to make sure that everything down there is clear, if there is lint or a piece of thread there that can affect the stitches. Is this a brand new machine? If you got it from a sewing store they should give you lessons on how to use it.

Oh, here is a good site for you http://www.sewusa.com/Sewing_Machine_Repair/Sewing%20Machine%20Troubleshooting.htm

Did you get a brand new machine ,or just a new to you used machine???? If you got a brand new one,you shouldn't have had to change the tensions anywhere as they come all ready to thread and run.They also come with a manual which you should sit down and read first,then read it again.Go thru the manual checking each thing out on the machine as you go.If you follow the instructions in the manual and the ones given here,you shouldn't have any problems.Also if you bought it brand new at a sewing center,not walmart or a place like that, they also usually come with lessons.
Good Luck
Kathi

Make sure your bobbin is turning the right way for your machine, either clockwise or anticlockwise, and check your tension, follow your manual instructions.

Hi - did you check that the needle was in the right way 'round?

FYI there is a vertical(lengthwise) groove on 1 side of the needle - this should be facing the side where the thread goes in - if it's not (if it's on the side where the thread comes out, that is), it can cause the kind of problems you describe.

Also be sure the needle is in all the way before tightening its clamp.I was taught to use something flat ( like scissors blades) to gently push up on the needle before tightening.

FWIW, HTH