DIAGNOSIS This is usually a heat pump setup issue. The thermostat has a threshold (called the 'compressor lockout' or 'aux heat lockout') that tells it when it's too cold for the heat pump to work efficiently. If this threshold is set too high, it'll jump to the expensive auxiliary heat (usually electric strips or gas) way too early.
FIX You need to check and adjust your 'Aux Heat Lockout' setting. On the thermostat, go to Menu > Settings > Installation Settings > Thresholds. Find 'Aux Heat Lockout Temperature' or 'Compressor Lockout Temp'. The default might be around 35°F. If you're seeing aux heat kick in above that, lower the setting. For many modern heat pumps, you can set this as low as 20°F or even 10°F. Set it to the lowest temperature your heat pump's manual says it can handle. This keeps the efficient heat pump running longer.
IF THAT DIDN'T WORK The other culprit is the 'Aux Heat Max Outdoor Temperature'. This is the *opposite* lockout—it's the warmest outdoor temp where aux heat is allowed to *help* the heat pump. If this is set too high (like 50°F), your aux heat will come on as a booster unnecessarily. Lower this setting to around 30-35°F or disable it if your heat pump is sized correctly for your home.
HEADS UP Tinkering with these settings requires a basic understanding of your heat pump. If you set the lockout too low (e.g., 0°F) and your heat pump can't actually produce enough heat at that temperature, your house will never get warm. When in doubt, consult your heat pump's installation manual for its rated operating temperatures.