I am having a rough time finding the thesis paragraph for a critical essay called "A Worn Path" The Eternal Quest of Welty's Phoenix Jackson, by...

Yes, this is a challenging essay! To find the thesis, we should read through it, looking for a place where the author has stated some original idea that much of the essay supports and discusses. 

Notice how Saunders opens the essay by describing the story (called "A Worn Path") and by explaining what another critic, Isaacs, has already said about the story and what it means.

Then Saunders writes:

All things considered, Isaacs' analogies are quite astute and provide us with the basis for a most interesting perspective: Phoenix Jackson is involved in that crucial search for meaning in life that is founded on basic Christian principles and designed, upon completion, to provide her with life-giving sustenance. Even if she is, due both to her advancing years and the nature of her difficult mission, about to die by the story's end, it is only so that life might be affirmed through acquisition of the medicine her grandson needs.

That phrase in bold above is a big clue. The first sentence in the paragraph above is saying, "The other guy's ideas are interesting, and they support my new idea." The colon shows that Saunders is about to present his new idea. There, he explains his own thesis (that the character of Phoenix is on a successful search for meaning and for "life-giving sustenance.") That original idea, which I've put in italics above, is the thesis of Saunders's essay. So, the paragraph above that I've quoted can be called the thesis paragraph.

We should check out the rest of the essay to make sure it mostly supports the thesis we've identified.

From there, Saunders goes on to describe how another critic, Bartel, partly agrees and partly disagrees with Saunders's view. He explains why the character Phoenix is like a mythological phoenix, which goes on to live again after a kind of death. Then Saunders explains how the ideas of yet another critic, Moss, relate to Saunders's own thesis. He uses that comparison to launch his way into a comparison of Phoenix to two other characters in literature, before going into a very detailed explanation of Phoenix's traits (as a "gifted child of nature," as "the designated protector of another worthy innocent," and as the representation of "unqualified persistence"). Those three ideas that I just listed make up a big chunk of the essay and all serve to support Saunders's main point.

The last few paragraphs of the essay talk about why the main point matters (because it gave hope to the readers of the story).