There are two common reasons for that:

• You run script from different environment (under different account/service; with different configuration) than the GUI. See another F.A.Q.1)
• You have your session configured differently in script and in the GUI.
  • If you use site in the GUI, try using it from the script as well, using open <site> command to see, if it makes the script working.
  • Very common difference is not enabling passive mode in the script.
  • You may possibly have some special characters in the session URL in the script.

You can also enable session logging both in GUI (on Logging page of Login dialog) and script (using command-line parameter /log) and compare the logs to find out what is different.

If you decide to seek help, make sure you provide both complete logs when describing your issue.

See also more generic article on making WinSCP work in a new environment (operating system, machine, user account, network).