I'm probably the only one who had this problem ... but in the event I'm not: unless you purchased hand-quilting thread, it helps to either run the thread through wax or thread conditioner before beginning as it will prevent the thread from weakening due to friction as it is pulled through the layers of fabric & batting. The other thing is that thread is twisted in a particular direction & behaves best when it is sewn in that same direction. The needle should always go on the end that comes off the spool first.
Otherwise, I believe the others have already given you excellent advice. Hope you find something that works!