I have two baseboard heaters controlled by one thermostat. One heater turns on the moment the thermostat is turned "ON", even though the dial is set lower than room temp, so it stays on all the time. The other heater on the same circuit does not turn on until the thermostat is turned up, operating like it is supposed to. What did I do wrong!

Thanks in advance

The thermostat is connected wrong. The feed needs to connect to the two LINE connections at the stat, and the two heaters need to connect to the LOAD.