The problem could be your walking foot. Is it a generic, or specific to your machine? Old or new? A walking foot can wear out, be defective right out of the box, or not be a good match for your specific machine. Sometimes a generic walking foot will work fine on a machine, but most of the new machines work better when you use a brand name walking foot made specifically for the model (or series) of machine that you have.
Edit: Also, how thick is your batting? The thicker the batting, the longer the stitch should be to compensate. Experiment with some leftover sandwich pieces to see if simply lengthening the stitch will solve the problem.