Chain derailing at front derailer, between sprockets
 

I'm not sure what is causing this.
I have a new bike, my first in ten years actually.
Twice now, I've had the chain derail off the front while shifting between gears. (I'm pretty sure from 2nd to first).
It actually slipped off, and fell down between the sprockets where it was lodged pretty hard. Should this gap be large enough for the chain to fall into? I'm wondering if there is an adjustment I can do, or if there is a problem with the front system somewhere.
Pardon my noobiness.

I appreciate any help I may receive.

A chain lodged between gears on the chainwheels? Wow, the only time I've heard of that is when somone upgraded an old 7 speed or 6 speed set up to 10 speed and didn't change the cranks.
On a new bike, having a shifting problem can occur, but the chain should NEVER get caught between chainwheels. Was this purchased from an LBS or is this a Wally World or The Big Zero bike (big mox store?

It's actually a Diamondback I picked up from REI.
I think I've found the problem. There is somehow a small gap between the sprockets, combined with a very slight warp to the 2nd sprocket. This may actually be a product of the event, but either way it's an issue. I'm going to have them repair it as it's only about a week old. I think the initial problem was a poorly adjusted front derailed, and the gap.