I have replaced the thermocouple in the gas hot water heater but the pilot still goes out.
What could be wrong

The thermocouple also controls the low voltage apparatus in the gas control valve, if replacing the thermocouple didn't solve your problem, then replacing the gas control valve is the next logical step.

if it works for a while then goes out typically there is a leak and when the tank expands it drips and the splash puts it out. It could be the gas control but the probability is very low. If the heater is new I opt for the gas control. If it is over 6 years old I opt for a leaking tank.