Is it on any strings in particular?
Is sounds like the issue might be with the amp. Does adjusting the volume on the amp make a difference? Is the problem still apparent when using effects? Are you picking up and out from behind the string, as opposed to up and down?
As for spacing between sring and pickup, it might be a tad close. I try to keep the neck pickup on my telecaster as high as possible, but I find if it gets closer than about 2mm when I'm fretting at the 21st, some problems can arise, but certainly not a 'thud' like you describe.
So basically I have little to offer except a bump and asking a few questions to see if we (as a collective) can try to root out this problem 😀
