One thing that several folks have mentioned is that they're using scopes made for centerfire rifles, including Weaver K4s, Leupold 2-7s, etc. Those scopes have parallax adjusted at 100 to 150 yards, so they won't shoot as accurately as rimfire (50 yard parallax adjusted) scopes at shorter ranges.
To check parallax, set the rifle in a rest, with a target centered, 50 yards away. Move your eye left and right and up and down and see whether the reticle moves away from the original target center. If it moves much, it can't be as accurate as a scope that's parallax-adjusted for 50 yards.
The good news is that some scope companies will adjust the parallax to 50 yards, or whatever you wish, at little or no cost.