Since you say you changed the needle, it might actually be a thread problem. Even though it's new to you, a spool of thread may have been sitting somewhere for some time. Sometimes between the manufacturer and the consumer, something causes a weak spot on the spool, and the thread will break there every time. I had gone through about 2/3 of a large spool of Coats & Clark 100% cotton and it started breaking. After checking everything like you did, I just tossed the rest of that spool and starting using a new one. And problem solved! So try putting in a different spool of thread and testing on a scrap to see if it is the thread.