On a new woocommerce store, the “Forget password” password was sending me to http://www.domain.com/my-account/lost-password/

In the funcions.php of the current theme that I’m using, I add the following lines…

function reset_pass_url() {
    $siteURL = get_option('siteurl');
    return "{$siteURL}/wp-login.php?action=lostpassword";
}
add_filter( 'lostpassword_url',  'reset_pass_url', 11, 0 );

For a deep reading and correct resolution
https://support.woothemes.com/hc/en-us/community/posts/201543505-Lost-Password-Endpoint-Shortcode-Not-Working