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I've just bought a pair of new Shimano M520 SPDs. I just fitted the pedals to the bike and cleats to my shoes but there is a problem in that when I pull up on the pedals there is a clicking noise coming from both pedals. It seems to be similar to what was happening on my old pedals and cleats, just not as bad. Is some degree of looseness inevitable with these pedals? I've tried increasing the tension but this doesn't solve the problem.
Have you greased the pedal threads and if you have splined cranks greased the splines? Might also be worth taking the BB out and cleaning the threads in the BB and frame and greasing them up too.
Also check your chainring bolts are tight.
I found that loosening them off, rather than tightening them, solved the problem. Look at the way the mechanism works - I can't remember off the top of my head, and didn't use shimano pedals for long, but I think that loosening them reduces the amount of space between the cleat and pedal mechanism.
I'm almost 100% sure it's the pedal itself which is the issue, even when i'm stationary and pull up on one of the pedals there is play/movement and eventually a clicking sound..
No problems here with the 520s / 540s / XTs like that.
I guess its something else
You could try taking the axle assembly out and grease it up a bit. You'll need the splined tool on 520s.
I've had this on two sets of new shimano pedals road and MTB, take the axle out pack with grease reassemble, jobs a goodun.
The cleat will move around a bit in the pedal - if you are "pulling up" on the up-stroke (many don't) then that may be the cause.
Seems odd that new pedals would need the spindles greased (and like that isn't the cause anyway).
My 520s are a good bit more clunky than my 959s and XTRs, the cleat can move around a lot more, so if you have a certain pedalling technique (like climbing sat on a singlespeed at low revs, high torque) they'll click.
Do they click if you ride round on them with flat shoes, just on the top of them? If not I would not bother with disassembly and just ignore it.