What happens when you switch back to the thread you were using without any trouble?
Is the new thread significantly different in size from the one that was giving you no trouble? If so, you will probably need to change the needle size.
Did you change the bobbin thread? Is it significantly different in size from the thread you were using without any trouble? If so, you will need to adjust the bobbin tension first, then adjust the needle thread tension to balance with the bobbin thread tension.
I'll check back after a while and see if you need any help. :)