So sorry you are having problems. As with the others, I'd watch a video and pull out my book and start by rethreading completely. Pay attention to which way the thread comes off the spool (front or back), some machines are fussy about that.
Go ahead and replace the needle, even a brand new needle can have a flaw in it.
Try a different bobbin case, making sure what you have is correct for your machine. Some bobbins seem the same diameter but might have a height or other difference. Make sure your thread is coming off the bobbin correctly. The way my cheapo Brother is designed, it is made so it's pretty hard to put the bobbin in wrong, my vintage machine there is zero difference looks- wise or in placement, but it definitely makes a difference in ease depending on which way the thread is coming off. My Bernina definitely has a right way and doesn't let me do it any other way because of the proprietary bobbins. Some machines don't care so much, but we should try to be consistent in whatever we do.
Try a different thread. I've had spools that looked ok but I found crossed threads or other manufacturing defects that caused problems. Some machines like different threads, my vintage machine didn't care at all -- but as my friend says, the Bernina she gave me prefers Aurifil and can get fussy.
Sometimes in double checking everything I find that I did do something wrong... un-noticed but detrimental like I changed the foot height to deal with a heavy fabric repair and haven't set it back to the defaults/quilting set-up. Shouldn't have issues with a new machine but just in case, find out if the foot pressure is adjustable and if it is in the correct position. Likewise, that the foot plate is on correctly and securely.