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What is the make and model of your furnace? Are you plugged into shore power or not? Please get back to me with this info and I can help you sort this out.
Are you plugged into shore power? IF NOT, are you sure that the battery(s) are fully charged? Is this a mechanical heat only thermostat? In other words, it doesn't control the A/C too? Did you turn on the "on-off" switch on the bottom?
I am attaching a copy of the Atwood Furnace Manual for you. Print out a copy or at least Bookmark it so you can come back to it again later. And if you aren't plugged into shore power, you need to be sure that the battery(s) are fully charged. What about the switch? Check that. http://bryantrv.com/docs2/docs/hflamefurn04.pdf
I am fully aware of how this furnace works...........and shore power usually assures that you have good DC power for this to run, especially if the battery(s) are low.
Usually a small plastic lever on the bottom of the thermostat that is the "on-off" switch. If that isn't on the thermostat won't work.
Whose thermostat is this? And you won't run that furnace long dry camping.......especially if you only have one battery.