It is normal for smoke to be thicker at the beginning of a cook. As the grill gets closer to the smoke temperatures (165º F), the smoke will thin out. Give the grill some time for this to happen. If the smoke remains thick after the grill settles and reaches the desired temp, keep reading for more help.
The fire is likely not reaching the proper temperature, and the pellets are just cindering. If this is the case, check the following: