SMTP Error - Could Not Connect to SMTP Host

I'm getting the error: SMTP Error - Could Not Connect to SMTP Host. Failed to send test email!

I'm using a webmail account, newsletter@example.com, and I've added the SMTP and POP3 settings as indicated by my webhosts email setup stuff. I did manage to get 4 bounce email tests, but I had an error on every attempt, so not sure what that means.

Any thoughts?

Update - The bounce emails are coming through when I switch it to PHP mailer.

Update 2 - Even with the PHP mailer set, it's giving me the SMTP error, but it's letting me send out the newsletters.. Interesting.