I can't save my game after play. Everytime I start play the game the progress. Didn't save from some reason. Can anyone help me out?

Try verifying the game files. If you have Galaxy then select the game, choose more then manage installation and verify/repair. Also make sure that cloud saving is turned either on or off in both Galaxy's setting and the ingame options menu.

The game doesn't strictly speaking have saves. It should just save on exit. You're always teleported back to the nearest town on save, which at the beginning is the starter town so it can look like you're starting over.

Also, all of the enemies respawn. OP, are you losing any levels you've gained/ having to do quests over again/ losing gear that you've picked up between sessions? If not then everythings working fine, if so you should make sure that the save folder (in my documents) is not set to read-only. If that doesn't fix it try verifying the game files like Medea said, and if that fails try a reinstall.

If none of that helps then try reporting it in the bug report section on the official forum (https://forums.crateentertainment.com/c/grimdawn/bug-reporting)

Edit: You may also want to make sure that GD is whitelisted in your AV, OneDrive is disabled, and that the cloud save option is the same in both Galaxy and in game (either both on or both off, and yes, there's an option in both places, and they have to match).

Thank I will try those option. AV?? OneDrive??? Where do i find those?

AV means Anti-Virus. As far as I'm aware the built in Windows AV doesn't have problems like that but you should be able to find either that or a third-party AV if you have one under Windows Security, then Virus & Threat protection.

As for OneDrive, it's a cloud saving system built-in to Windows. I deleted it quite a while back since I never used it and it was using system resources, so I don't remember how to turn it off anymore, but you should be able to google it. It's possible that you might be able to find it in the list of programs under Control Panel > Programs > Programs & Features > Uninstall a Program, and get rid of it that way.

It's possible that if the game isn't saving your items, experience, devotions, and quest progress that one of these could be causing a problem (make sure you just tell the anti-virus to make an exception for GD rather than uninstalling the AV). It could also be something else, but those are both known issues that have affected others in the past so it shouldn't hurt to check those first in case it fixes the problem.

And if you don't know what OneDrive is, you're obviously not using it, so it's no loss to uninstall it.