Were you careful to thread while the presser foot was in the up position? Because if the presser foot is down when you do the upper threading, the thread won't seat properly inside the tension discs. Raising the presser foot moves those tension discs apart so the thread can settle in. The flossing of thread also helps the upper thread seat properly, but it won't work if the presser foot is down while you are doing it.
The nests underneath could be the top thread being pulled way down with every stitch because the top thread is not getting tension from the discs.