You can adjust the tension on your scroll saw’s blade through either a lever or screw - the instruction manual will provide more information.
To check the tension, apply light tension to the blade with a finger and listen to the tone it produces: a high pitched tone indicates that the tension is too high, whereas a low pitched tone indicates it is too loose. If in doubt, you can check the tone against an online video.
If the blade bends to the side when you slide wood through the saw, the tension is too low. If the blade breaks, the tension was too high.