maybe lower tension? Did you check the upper part of the machine,(I do not know how to call it) sometimes threads get tangle inside of it and you can not see them I am telling you this because it had happened to me
you need to unscrew it and check the thread path section. Good luck

I have this problem a lot when I'm doing small stitching such as writing. I have to loosen the tension but then the thread keeps breaking or the machine just stops and says check thread. In the latter case I can just lift the presser foot, put it back down and continue until it does it again.

Mary said to clear the thread path but be warned be sure to turn off and unplug the machine or you will get the shock of your life. Have you tried putting the thread in with the thread rolling towards you and could be a numby on the needle not visable to our naked eyes. I remember a few years ago the service technician told me to actually take some dental floss and thread the machine and pull it from the needle area, this think wax will almost always pull up some tiny pieces that may be caught.

This may sound ridiculous, but a lot of times when I am working on a lot of projects and my machine starts to act up and I change the thread, the bobbin, the needle, clean out everything, looked to make sure there are no burrs, and can not think of one more thing to do...
I turn off the machine and let it cool down. I don't know if you have ever felt around your machine when using it but there are hot spots and I think the machine just gets tired out. It seems to work for me.

After all the obvious, I have found that it is thread caught in the thread path. Another thing I have realized is if I show down my machine when I am having problems it seem to help. H&*

Could also be your thread if you have checked all of the things like your needle, burr on the throat plate, tension, it could be a bad cone of thread, change to another thread and see if it still does it. Good luck hope you find the problem soon.

Check to see if the thread is getting caught on the thread spool or between the thread spool and the pin that the spool sits on.

Take everything off and re thread your machine with the pressure foot up. Same for the bobbin.

Check to see if you have a rough spot in or around the needle hole on the needle plate.

This can be smoothed out with crocus cloth which is a very fine type of sand paper that you can get at most hardware stores.

Make sure your needle is in right and use the right size needle for your embroidery thread.

Good luck!
EastWitch2

Hope you found the answer to your question. Can't think of a thing to add that has not already been mentioned.