There are many things that can happen. The bobbin itself can be misshapen. More usually there is a problem in the winding, a loose belt/gear, wrong threading, too much tension on the thread (if you hold the tail end, that freaks out some machines but is needed to start on others), and sometimes there is actually a problem with the spool/cone or how you have set that.
My friend's long arm supposedly had the "wind bobbin while you sew" option or direct bobbin threading as well. We tried everything but could not wind a decent bobbin to save our lives and decided to try prewound bobbins which worked very well for us. The size of her bobbins is M, which is not something I can locally find often (15 and L are common here) so I ordered direct from Superior Threads. Some machines are pickier than others and don't like other bobbins, so far all of machines that can fit prewounds have done fine. My Bernina has a proprietary bobbin and I can't buy prewounds for it, which I would personally consider a negative if I had the embroidery unit.
I bought a low end Brother in a box at the Goodwill for $20. Turned out the bobbin winder on it was pretty much useless, oh it made noise and spun around but it didn't really work. I bought a Simplicity Sidewinder for then about $25... It makes a big difference on whether the batteries are strong or not, but on a stable surface and using a standard spool of thread (haven't gotten good results from a cone) it winds a reasonable bobbin and makes the sewing machine a workable option.
Here's a site that compares different bobbin winders, including the Sidewinder
https://craftsmenxp.com/best-bobbin-winder/