Let $X$ be transitive, fix $x\in X$, let $G_x$ be its stabiliser. Then as a $G$-set, $X$ is isomorphic to the set of right cosets $G/G_x$ with $G$ acting on it on the left. The isomorphism is given by sending $\sigma\in G$ to $\sigma(x)$ (check!). So now, $G_x$ acting on $X$ is just the same as $G_x$ acting on $G/G_x$ by left multiplication, and the orbits of this action correspond precisely to the double cosets $G_x\backslash G/G_x$. Namely if $y\in X$ corresponds to $\sigma G_x\in G/G_x$, then the orbit of $y$ corresponds to the double coset $G_x\sigma G_x$. You should write it out, carefully checking all bijections, but if you think about it for long enough it will become trivial.