Pilot light won't stay lit on water heaters. I already replaced the thermocouple

You probably have a bad gas valve or the flame is not hitting just the 3/8" part of tip of thermocouple. If it's not adjusted right it will not work. The only way to know if the gas valve is bad is with a meter. Set meter to ohms at the kilo-ohms scale. Then unscrew the thermocouple and measure from the contact in the center of the bottom of the hole to the side (ground) of the gas valve. If you read several k-ohms then it should be good; if it reads infinity (open) then it's bad. You also have a gas volume adjustment that will increase or reduce the size of the flame on the pilot light. It's usually a small screw on the side near where the gas tube connects to the gas valve. Try these instructions and it will be fixed in no time.