Go to Finder > Preferences > General and be sure the items you keep on your Desktop are check marked.
Are you using iCloud Drive? If you are turn off Desktop & Documents:
Add your Desktop and Documents files to iCloud Drive - Apple Support
When you turn off Desktop and Documents, your files stay in iCloud Drive and a new folder is created on your Mac. You can move files from iCloud Drive to your Mac as you need them, or select all of your files and drag them to the place you want to keep them.
- From your Mac, go to Apple menu > System Preferences > iCloud.
- Next to iCloud Drive, click Options.
- Deselect Desktop & Documents Folders.
- Click Done.