No Refund For Cancelled Flight Refunded By Airline to Budget Air

I had booked my Tickets with BudgetAir and as the flights got cancelled .They are suppose to refund the money. Rather they are saying that they have not recieved money from airlines. I checked with Ethopian airlines and they say they have already refunded the amount. I communicated the same with them and they are not ready to reply. Frustrated. Big Lesson always book tickets directly from airlines.