P45 not returned to me by previous employer, now I've been emergency taxed?

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I left my previous job at the end of sept, and started a new job on the first of october. I have been paid by my new employer, but have had to pay emergency tax, as they have not gave me my P45. They say that it is in the post, but I don't believe them. Are they acting illegally?

P45 not returned to me by previous employer, now I've been emergency taxed?