I'm guessing that it is a new machine and complete with the stock coil?
First if you have it, make sure that you keep the coil cover on.
You don't lose any depth and it will protect your coil from getting scratched, or worse chipped.
If you don't have a coil cover, then I would suggest spending the few bucks and getting one.
Check and make sure that your connections are tight where the cord attaches to the control box.
Is your cord twisted up the coil the way it is suppose to be?
Do you have any metal or anything attached to the shaft near the coil?
Is the bolt that attaches the coil to the machine a factory plastic bolt, or do you have something else there?
Target sizing will vary as to how deep the target shows up on your machine. For an example if you are finding a coin near or on the surface, but you coil is off the ground too far, it will show you a deeper depth.
If it is a really tiny object (smaller than a dime lets say) the machine will sometimes have a hard time giving the proper depth.
If none of these things work or are true, then try doing a factory reset on your machine. To do a factory reset press and hold the power button for 5 to 10 seconds (until the detector produces a fast double beep).
Let me know how that works out?