EDIT: As others have explained below, it is important to avoid doing this, and always scale and rotate the curve in edit mode.
Incase others get stuck when adding the curve modifier, and finding that it doesn't align when selecting any axis.
Most likely means you scaled the bezier circle in object mode - which means you have to apply the scale and rotation to avoid strange things happening.
Select the BezierCircle > Press Control + A > Select Rotation & Scale
This fixed it for me, I was confused for a while as this is easy to forget sometimes.
Great tip, MMagnality! Thanks for dropping a solution to a problem I'm sure many are going to encounter.
It's super important we do that rotation in EDIT mode, so that we do not mess with the transforms of the curve circle. That will hinder how the modifier is going to interpret our tread slice.
You're awesome! Thanks for sharing.
Chunck :)
To everybody:
Do not Apply the Scale of the Bezier Circle! Applying the Rotation might get you the result you want, but I'd avoid that as well, but Applying the Scale (if you have Scaled the Curve in Object Mode) will mess up your model!
Better to just make sure to always Scale and Rotate Curves in Edit Mode.
Martin Bergwerf is right. If you apply scale it will change the Radius of your control points. This will end up scaling up the object(Rubber). You can correct this by tabbing into edit mode, select all control points, on n-panel->Item tab->change mean radius to 1. This should work as long as you haven't gone in and changed any of the points radius.