My pilot light will not stay lit. I replaced the thermocouple. The flame is hitting the thermocouple and the flame is blue. I am out of ideas.

You state that the pilot won't stay lit and then state that the flame is hitting the thermocoupler??

What is this??

Can you light the pilot or not??

If it lights but then latter is off then you could have a vent problem.

What type of WH do you have? Do you light the pilot with a lighter or by pushing a button that a spark lights it?

If you answer this question I might be able to help!!

As brownsdog mentioned, if the pilot lights and stays lit, but later goes out, and you have a push button igniter (sealed combustion water heater) you most likely have a combustion air problem. This is common with newer water heater. The cure varies from brand to brand, but it normally requires blowing out the combustion air inlet screens/anti explosion devices with an air compressor, or sucking them clean with a shop vac. Make , model and serial number of the unit would help us know what type of screens, etc you have and how to clean them. If you happen to have one of the "honeycomb" anti explosion devices, I have a good trick for cleaning them without pulling the burner assembly out.