I'm guessing you're talking about the lake Trio, Uxie, Mesprit and Azelf. Mesprit will always run away from you, playing a little game by roaming Sinnoh. It will do this in a similar way to the legendary Dogs in GSC, switching place every time you enter a new town or route (like (I think?) Calder said... kinda hard to understand it). It when you find it in the grass, it will try to escape, but you can battle it. Make sure NOT TO KILL IT.
With Uxie and Azelf, it looks like you've either defeated them or ran away. Neither of this was good; even tho the game says they 'escape deep into the caves', they actually dissapear from the game. You won't get a second chance. If you want them, you should try to trade with your friends.
