I just deleted my messages. How do I retrieve them back?

Unless you house your messages in iCloud, they are saved on your iPhone backup. Restore that backup to retrieve the messages that were present when the backup was created.

Restore your iPhone, iPad, or iPod touch from a backup - Apple Support

It isn't possible without restoring your phone (even then you must have a backup saved) so unless it's very important then you'll sadly not be able to do much