The two refunds come from 2 different tax agencies at different times. There's no way to predict which one will come first.
Did you efile the state return? If so, the fact that you got your state refund implies that your Federal return has also been successfully efiled and accepted. Did you get the Federal acceptance notice after efiling?
Now you have to wait until the IRS finishes processing your Federal return, approves it (hopefully), and releases it.
You can follow the Federal refund status here:
https://www.irs.gov/Refunds
