Bryan, to check the overall integrity of your equipment, you may want to recalibrate your unloader. Using a good guage, turn the pressure down on the unloader (say to 2000 psi on a 3500 psi machine). Then using a good nozzle tip (for example for my 4000 psi, 5 gpm machine a 5.0 tip) specified for your machine begin turning the pressure up incrementally. Check the pressure running, then with the trigger in the closed position. Depending on the unloader, the pressure will spike roughly 100 psi when closed. If you reach a point where the pressure spikes more, say 300 - 400 psi, then back off a bit. You should be close to the max of your machine.
I then usually put another good tip in place and recheck.
If your pressure reading is much different than the design press of the system, then you may want to try another guage - or you may have an equipment problem.