I would definitely look into the switch at this point. Make sure there are no blown fuses in the relay as well. But most likely your switch is the problem.

Side note. The bulbs are still good in the car right. I have seen cases where both headlights burn out because of voltage surges caused by bad wiring etc. Also I have seen someone pull the headlight switch in a certain position so both the dim and brights were on (depending on car) and this caused both headlights to burn out.

Hope I could help