Solution:
You should add a HTTP Cookie Manager to your Test Plan in order to tell JMeter to track and automatically handle cookies.
Also consider following other steps from the How To Make JMeter Behave More Like A Real Browser guide to wit:
- Add HTTP Header Manager to represent browser headers
- Add HTTP Cache Manager to work as a browser cache
- Configure your HTTP Request samplers to:
- download embedded resources (scripts, styles, images)
- use a concurrent thread pool for this
- download resources only for your application under test domain(s)