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To re-attach an XR-65 needle clamp, you must tighten a different screw-threaded little piece, than the one that hold the needle on. It has a little hole in it for an Allen wrench, a tiny hexagonal hole.
It fits in above where the flat-headed needle clamping screw goes.
( Possibly, it may look like this:
Make sure you put the needle clamp on facing forward, properly, of course. There should be a J shaped part which goes into a hole on the bottom of the needle clamp assembly.
This is a picture of the needle bar assembly:
Many have complained about this problem, and this needle clamp assembly. I have found all the helpful information about it that I could and put it together for your answer. Let me know if you need further help - or, the location of a Brother Authorized repair center... near your zip code / locality. If your Brother machine is less than a year old, warranty repair should be free there.