See if the thermocouple nut is loose. It's a 3/8" nut that screws into the gas valve.& make sure the blue tip of the pilot flame is pointed at the tip of the thermocouple nipple. Probably something loose or out of line from shipping.
Might be a dumb question , but did ya check to see if the safety switches are re- set. I've seen those w/ pushbutton CO & tip over sensors.