I found that Banshee 2.2.1 was downloading my amazon mp3s to /tmp/banshee-amz-downloader
instead of my media or downloads folder.
Unfortunately there is no setting for where to download the files :/
Anyway, if you bought music and you downloaded it and not you don't see it in your library and can't find the files - try looking in /tmp/banshee-amz-downloader
For me the files had non-sense names like ee4560889fdf09fg.mp3 but their icon was the album art.
The best way I've found to import them:
1). Use banshee to download them to /tmp/banshee-amz-downloads. I just double-clicked the .amz files and it had an option to open with banshee so I did that. It showed a loading bar and when it finished:
2). Change your Banshee settings from them default settings to copy imported music to media folders, and to update metadata and file and folder names: Edit->Preferences then check boxes: "Copy files to media folders when importing", and "Write metadata to files", and "Update file and folder names"
3). Import the /tmp/banshee-amz-downloader folder's contents using Media->Import Media or by copying the folder into the music folder that Banshee is set to look in and rescan with Tools->Rescan Music Library
The end result will be copied mp3s sorted into appropriate folders in your music library with appropriate file names and metadata, and available in Banshee