Google tells me that 3 ply yarn is the same as US light fingering and 4 ply is the same as our worsted. When you switched yarns did you also switch to larger needles? If you're trying to work the 4 ply/worsted on the same needles called for in the pattern for 3 ply/light fingering then that could be the problem.
What pattern are you doing? If you can link to it or tell us the name of the pattern and the designer it might be helpful