A quite common reason to such issues is routing of monitored signal. For example, in many setups it's possible that you accidentally hear both direct monitoring from the interface and input echo from SONAR - double signal when tracking, single on play back. Also, if you monitor much louder than what the play back volume is, you "automatically" think the louder sounds better.
What type of degradation do (you think) you hear in the recorded signal? Distortion, lack of body, lack of clarity or sparkle?