I have a central air system with natural gas heat. I had trouble 2 years ago and had the thermocouple replaced. Now the pilot is out and I cannot get it to stay lit. I have tried pushing the reset switch and still no luck. I have a good blue flame that burns strong but as soon as I try to release the pilot button to turn the knob from pilot to on the pilot goes out and I need to light it again and try holding the button.

Any ideas what my problem could be and how I can get it to stay lit?

Make sure the bulb part of the thermocouple is well in the flame when it it burning,, but you again could have another (bad) thermocouple