Sewing machine repair people use the zigzag stitch as a test of the tension balance. If there is anything wrong in the tension settings, it will show up in the zigzag stitch. I would start by loosening the upper tension and trying again. If that is not enough, you may have to start adjusting the bobbin tension.
Edit: If the stitch length is short, you typically need a stabilizer as PaperPrincess mentioned to keep the fabric from "tunneling". However, it shouldn't be necessary if you are just doing a zigzag with average or long stitch length on quilting weight fabric.
Last edited by Prism99; 04-16-2014 at 09:48 AM.