If I get going too fast too soon I break thread. Also, if there's fuzz somewhere that could cause a hangup. If you've changed threads and this is the first time using that thread it could be your Juki just doesn't like that brand, kwim? I use Maxilock to quilt and it's good.
Start over from the very beginning...open up the tension, rethread, oil the oil holes, and see what happens. Start slow and work up to speed, just a few seconds is all.