I would check how you are threading your needle, then make sure you are holding onto it when you start sewing, and thirdly the tension may be too tight and the thread isn't feeding through, what brand is your sewing machine, that one someone may be able to give you a specific answer for your machine

Ooo oo have you oiled it lately, and given it a clean with the little brush that comes with it, also sometimes if you thread the needle the opposite way and see if that makes a difference, I had a really old machine (the motor was separate and if I didn't thread the needle from the correct side it would do the same thing

After just making some clothes for myself, I would definitely press the hem before sewing, it makes it a LOT easier and a neater job as well