Your machine needs to have proper tension to make a nice stitch. It gets that tension by having the thread go between the tension discs.

The tension discs have to be open, or apart from each other for the thread to be threaded properly between them.

This video explains when the tension discs are open and when they are closed.

There's definitely more of an explanation in the tension videos, but this will get you threading with your presser foot up if you doubt it's important.