Is it normal to have tax withheld from my new scholarship?

Don't trust what you received without checking directly with the organization paying your scholarship. Withholding on a study grant really depends on tons of factors: the type of scholarship (private scholarships, government aid, merit-based grants), your tax status, the country where you're studying, and the agreements between organizations. It's not standardized at all.

What you can do is check directly with your school or the organization paying out the scholarship to understand why there's a withholding. Ask them for a detailed breakdown of your payslip or payment transfer, with justifications. Sometimes it's legal (income tax, social contributions), sometimes it's an administrative error that gets sorted out with a couple of phone calls. If it's a "regular" study scholarship - like actual financing for your studies - normally it should be exempt or have special tax treatment, so a withholding shouldn't really happen.

Also look at your scholarship award letter to see if there's anything mentioned about tax treatment. And don't hesitate to contact your school's administrative department - they deal with this all the time and can explain to you clearly whether it's normal in your situation or not.