Thymio's motors can have small variations in speed, therefore it is common that they don't all turn exactly at the same speed.
To test how your robot drives, please use the obedient (magenta) mode. In this mode, on a flat surface, the robot should drive straight forward when you press the forward arrow, and straight backwards when you press the backward arrow.
If that is not the case, you can calibrate the motors with the light green settings mode.
If the calibration doesn't help and your robot deviates strongly or one wheel doesn't turn at all, there is probably a hardware problem.