I had that happen to me with my little Laura Ashley Brother machine (inexpensive). It has a plastic guide for threading the bobbin, but I found that guide would sometimes interfere with getting the thread in the right place (the little metal tension piece). Now I slide my finger under the plastic guide to make sure the thread "catches" correctly. I haven't had a problem since then.
Unfortunately... I was working on my son's bathrobe when it happened, and didn't discover it until the front seam was sewn down. I wasn't able to rip it out (it was a fleece bathrobe, and I was a beginner), so I clipped the nests and hoped for the best. He didn't mind, and if it ever does come undone, I'll just go redo that part.