Be sure the gas supply is turned on, and that the pilot light is lit. If the pilot will not light check for blockage, in the pilot tube, from spiders or mud wasps.

Blockage in the main gas orifice or dirt and dust can block the flow of gas, clean unit per operators manual. Check to be sure that the wiring to the thermostat is not faulty and that the electrical connections on the thermostat are clean.

First check that the wiring from the thermostat to the gas valve is correct.

The pilot light might be too short to supply enough heat to the thermocouple for correct operation. Adjust the pilot length using the screw marked on the gas valve "pilot adjustment" per the instructions in the operator's manual.  After all else is checked, the thermocouple may be weak and cannot supply enough power to operate the main gas valve burners electrical solenoid.

Pilor and Main Burner Flame Adjustments

Check gas supply, either natural gas or propane, and the connection to be sure it is tight. If it is a new propane tank or just a refilled tank, it may have air in the top of the tank that needs to be bled off by propane supplier. The pilot tube may also be blocked by dirt, dust, or insects. Clean thoroughly.