Please take care when assembling your bike.
Please note that the pedals are specific to the individual crank arms. They are a right side and left side specific, look for a “R” and a “L” marking on the pedal or the corresponding sticker.
Put some grease on the threads, a garden pea size amount will do the trick.
The left pedal is a different type of thread, it requires an anti clockwise motion to tighten. Turn towards the left to tighten and right to loose. (LEFT PEDAL ONLY) Do this nice, tight and secure.
The right side pedal is a standard right to tight thread, clock wise to tighten.
If this is a problem, please take it to a local bike shop and they should be able to help.