Have a close look at the underside of the string where it sits in the nut, if there is a gap under the string, then it's not sitting correctly and the nut slot would need some filing.
Inspect the contact point of the string with the saddle and see if the string is sitting correctly. Whenever I put strings on, I always press each string down fairly firmly, immediately in front of the saddle, this ensures a good contact point with the saddle. I do the same at the nut.