My pilot light won't stay lite. The flame is blue and I changed the thermocouple. But the moment I let go of the button it goes out can someone please help me?

Is the thermocouple setting to far from the flame to operate? There's one more thing to chek.
Look out near the gas meter. You should see a inverted tee, (tee turned upside down)with a pipe pointing down. This is a drip loop installed to collect moisture so that it won't get in your gas line. Over time this drip loop will fill up and needs to be drained. If it's not drained water will enter with the gas and put out the pilot light. Some drip loops have a petcock at the bottom so you can drain it. Others have a hard cap that must be remover with a wrench. Shut off the gas at the meter, open up the drip loop and drain it. If it has a hard cap, don't forget to wrap the threads with teflon tape before you put it back. When you turn the gas back on paint the threads with liquid soap and check for leaks,(bubbles). Hope this helps and thank you for rating my reply.

Is this a water heater, furnace, gas fireplace, free standing stove or something else? How long are you holding the knob down before you let go and the pilot goes out. Some units have a high limit that has two wires connectiong to the place where the thermocouple screws in, if this limit trips, or the wires are loose, it will not allow the pilot to stay lit. Please let us know what you are working on and if possible post a pic of the gas valve where the thermocouple screws in.

As tom mentioned, if the couple is not directly in the pilot flame, it will not work correctly. One way to check if the thermocouple is getting enough flame is to take a torch and heat the thermocouple with it, then see if it stays lit, if it does, but once you remove the torch, the pilot goes out within a minute or so, you no you are not getting good flame contact, or low flame from pilot.