Diagnosis
The quick-connect fitting is not fully seated or the O-ring inside is missing/damaged.
How to Fix It
First, ensure the hose is for high-pressure (has metal braiding). Push the collar on the gun connection all the way back. Firmly push the hose end into the gun until you hear/feel a solid click. Pull back on the hose to confirm it's locked. If it leaks, disconnect. Inspect the small black O-ring inside the female part of the hose connector. Replace it if cracked or missing.
If That Didn't Work
The brass quick-connect stem on the spray gun itself may be damaged. Look for scratches or gouges. A damaged stem won't seal.
Heads Up
Always depressurize the system before connecting or disconnecting the high-pressure hose. Turn off the machine and squeeze the trigger to release trapped pressure.