I understand that you are using a CSMIO motion controller. In all other respects, this is a good thing - I use one myself! However, assuming that it uses differential signalling to the driver (which is also a good thing) then it is very easy to get, literally, your wires crossed. Quick way to check is to go into Mach3 -> ports and pins -> motor output and click the Step Active Low box (changes from red cross to green tick). This is exactly equivalent to swapping the wires between CSMIO and the driver. Just do this for Z, if the other two axes are OK. Then do another test.

This is my red-face moment - despite working very carefully, when I wired my control box I managed to get these exact same connections swapped myself. However, as I say, if this is the problem (no guarantees but it sounds very familiar) then this will fix it. Then you can go back and recheck your "steps per" settings as these might have been affected by the problem. If this is not the problem, then nothing bad will happen and you can put the Mach3 setting back as it was and look further for the problem. However, this is so easy to do and check that it's worth taking a few minutes to try it first.