If you need to ensure messages are preserved for evidence or archival:
For individual DMs, take screenshots of important conversations as they occur. recover-deleted-messages-on-discord
Request your Discord data package every few months to maintain a local archive of your existing history. Requesting a Copy of your Data - Discord Support If you need to ensure messages are preserved
Recovering deleted messages on Discord is generally through the platform itself once they have been removed from its servers. While Discord does not provide a built-in recovery tool, there are specific workarounds and preventive measures users often employ. Official Discord Stance & Native Limitations While Discord does not provide a built-in recovery
Local scripts that cache your own chat history as you use the app.
Be extremely cautious of "recovery services" or tools that ask for your Discord token, password, or to run code in your browser console.