Did you completely thread and re thread it, including removing the thread from the spool?
one time the problem I had was the thread got under the spool and looped around the spool pin. I've also had the thread get caught on the little cut mark on the spool where the thread can be tucked in to "hold" it. And I've even had the darn thread loosen up ON the spool and had it get under another layer wrap and then tighten up on the top thread so it would not pull off the spool. If you check everything, change threads too and try it. I can't put Gutterman thread on my White because it pulls at a downward angle and occasionally gets caught on the wavy edge, but it works fine if I put the thread in the spool holder so it pulls level.
I've had a lot of problems with thread looping around somewhere it's not suppose to be looped and being held tight.