Many things could cause this to happen.
Start by checking your routing: make sure EVERY track goes either to a sub-buss or to your master buss. You don't want ANY track going directly to your main outs. Also ensure ALL of your sub-busses are going to your master buss.
Next, do an export using the same bit depth & sample rate as your project (24 bit hopefully!) and with NO dithering.
Now import your new export into the same project on a new track. Route this one straight to your main outs (you don't want to "double up" any master buss Fx. Solo it. This should sound identical to your raw tracks and you have proved conclusively that Sonar isn't the problem.
Now do the same exercise but export as a 16 bit 44.1 KHz file. Reimporting it into Sonar should again sound exactly the same.
Now you can try playing it in Media Player, car stereo etc. If it sounds wrong in WMP, check you haven't got any weird EQ curve in WMP