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I have been using mounting blocks to connect wires (typically coming from sensors/supply battery) to my PCB.
The problem is, these do not seem to be robust. The wire often gets out of the block, which is not what I normally want to happen.
My guess would be to directly solder the wire to the PCB, but was wondering if anyone has another suggestions.
The problem with those screw terminals as well as soldering directly to the PCB is that any movement or bending of the wires will quickly lead to fatigue failure. A good solution would be to crimp bootlace ferrules on wire ends before screwing them into the terminal block or providing some form of strain relief for wires soldered directly to the PCB. Both of these solutions are good at avoiding wire fatigue and breakage.
You can also try using a bit thicker multistranded wire screwed directly into the terminals (do not tin with solder first as this increases fatigue failure rate).
If used properly, terminal blocks are very reliable. If they weren't, they would not be in such wide use in the industry. That is why I suspect you may not be using them properly. Rather than suggesting a different component, I suggest you stay with a terminal block but pay attention to its use.
Make sure that:
For increased reliability, consider crimping the wire to a terminal before insertion. These terminals are appropriate:
{Digikey}
The other answers seem to be concentrating on the ends of the wires. I suspect the problem here may be that the entire wire - or group of wires in a cable - is pulling away from the board. The solution to that is some sort of clamp or strain relief. This is a purely mechanical (not electrical) device and could be anything from a simple plastic cable tie looped around the cable through a hole in the PCB to a clamp installed in the product case to any of a number of other things. But the basic idea is to hold the wires or cable tight some distance from the electrical connection in a place where there will be no stress at all on the electrical connection except during assembly or repair.
In addition to what has already been said, here are some common beginner problems with terminal blocks:
In case of screw terminals there's an "elevator" of sorts which you move down towards the wire when screwing. In case you manage to get the wire on the wrong side of this "elevator" then you get a poor electrical and mechanical connection since it's not meant to go on that side.
This might be the problem you are experiencing. To avoid it, ensure that the screw is opened up all the way before inserting the wire.
Pressing the "elevator" down onto the cable insulation will give real nasty problems. This might give a nice mechanical connection and it's hard to spot. But the electrical connection will just be random and completely unreliable. Obviously the "elevator" should press against the exposed copper or ferrule. Using ferrules is also a good way of avoiding this common problem.
