It would help if we knew what brand of scroll saw you bought.
Check the blade, it must be at a right angle to the top of the table (left to right), if it is too far off it binds the blade.
Sharp blades are a must, they are tiny and they wear out, buy some new ones.
Slowly feed the wood into the blade, watch the blade if when you are cutting it is being pushed to the back you are feeding the wood too fast/hard.