Can we have multiple save file in Borderlands 2

Solution 1:

If you start a new game with a new character then you can use the "select character" option on the menu to go back to your first save file.

Solution 2:

You can create multiple characters to start new games and continue each independently. You can use New Game to start a new character or Select Character to play a previously made character; all their progress is saved.

However, you can't go back and load previous saves of existing characters; only the latest save per character is ever kept by default so all progress made is kept, so progress is 100% linear. I guess some fudging around with save files could eliminate this, but Borderlands isn't meant to be one of those RPGs where you have 500 save files for one character.