At Amazon's instruction, I spent $600 shipping a return to a third party seller. How stupid/screwed am I?

I bought a large item on Amazon and immediately realized it was a piece of junk. I started the return, but no label came. I called Amazon who told me "not to worry, ship it and we will refund you". I have this in writing in an email.

Now, weeks after the item was delivered, refund processed, etc, Amazon has rejected my claim. Even when providing and email from them telling me the will refund me.

What options do I have at this point? Do I take them to small claims court? Do I try calling them again? Last I was told that a "ticket" was being put in for me and they'd get back to me by February 4, but I don't trust this scumbag company one bit.