This is most likely due to an issue with Steam's cloud saving! It seems to happen to some people at random, and usually disabling Steam Cloud will prevent it from happening again.
To disable Steam Cloud for the game, go into your Steam Library, right click the game and choose Properties. Go to the Updates tab and make sure the Steam Cloud checkbox at the bottom is unchecked!
You can also restore the lost save file from the backups generated from the game!
In the file explorer, go into %APPDATA%/Secrets of Grindea and find the Backups folder. In here you should see folders named after all your characters. Go into the appropriate folder. The auto 0-4 are rolling backups. Sort the folder by date to easily see which of them was made last! The “005h” and alike are permanent backups made every hour.
Choose a backup you think is appropriate, and copy it to the “Worlds” folders. Replace the save file of the slot you want to recover by deleting its save and renaming the copied backup to the correct slot. The 0 save file corresponds to your first save slot, 1 to the second, and so forth.