On an ipod at least, there are several 'effect' settings, like bass boost, treble, stadium etc.
Could one of those be set?
The sound on MP3 players isn't as good as what you'd get from a decent hifi - is it an expectations thing ? If not then you may have a genuine problem with the device.
Try locating and playing the MP3/sound file on your PC to see if it sounds ok played there. Also try switching headphones to another pair.
If all this fails might be worth a trip back to shop / send back to mail order retailer.