Many things on an embroidery machine can cause thread breaks, but not all are obvious.

BACKING - Excessive backing material used by inexperienced operators can cause thread breaks. If an operator uses three to four sheets of backing, stiffer embroidery is the result, but it also applies a great deal of friction to the needle, causing thread breaks. Needle drag is when backing is too thick and rigid; it normally is abrasive or adhesive, causing "drag" on the needle. The needle overheats and consequently, thread breaks occur.
FABRICS - Abrasive or Adhesive - Thick and tight fabrics that have a plastic surface will cause will cause drag on a needle, and subsequent overheating. A bigger, reinforced or Teflon coated needle may be used, or you may try reducing machine speed or using waxed paper between the fabric and the backing. In an excessive case, you can use a silicone lubricant applied to the backing to reduce this thread-break causing drag.
OIL - It is very important to keep your machine well oiled.  However, it is equally important that the oil does not come in contact with your thread.  This will cause the thread to weaken and break. 
TENSION - Too tight. Inexperienced embroiderers usually increase tension in the bobbin to compensate for top thread tension, which leads to higher than needed thread tensions overall. Consequently, there will be more thread breaks than normal, and distortions in the design, specifically if polyester thread is used. Symptoms of too tight tension in the upper thread will be little dots of bobbin thread that appear in the sides of column stitching.
DESIGN - Stitches too short. If stitches are too short, such as 5 to 10 point stitches, it means thread goes through the eye of the needle about 60 times before being set into the fabric in a stitch. This weakens the thread, causing thread breaks.
Stitches too long. Stitches longer than 80 points usually produce a lot of problems in the machine, and occasionally needle breaks, in addition to thread breaks. This is caused by tension in the thread that pulls the thread just as it is going into the needle plate. Therefore, the needle will hit either the needle plate or the hook. This kind of problem will show also when there is a big jump without a thread cut.
Excessive stitches in a single area. If the machine embroiders repeatedly over an already embroidered part of a design, the thickness and tightness of the fabric increases, and thread breaks will always occur in the same part of the design.