I just had the exact same problem, and found out that the blade was the wrong blade for the saw. It seemed to fit, but when it hit wood, the blade pulled out. Your saw looks just like mine. I found it is made for a T Type blade. When I got the right blade, it worked well. I still have the bad blades, here is a picture.

The one on the top is the T type blade, the bottom is the one that locks in, but won't stay.