To rule out a hardware problem i would simple recommend, that you use the Game Controller settings in Windows (or the OS you are using) to test it there.
In game problem could be, that you have configured key presses for individual directions instead of a configured axis control. So that the game register your axis movement as a simple key press in one direction.
Well, it even can be caused by a second device, that is plugged it.
But that is not the default configuration behaviour, though.