If you did not initiate it with your bank or credit union, it's a scam.
It is also best to go down to the local branch in person to set things up.
Make sure you read EVERYTHING in the paperwork. Yes, I know. It is long, it is boring, and they print everything in teeny tiny font. Take it home if need be and read it all. Have someone you trust read it as well. They might see something you missed.
Yes, you can take it home. If they will not let you, walk away.
Good advice.