On the title screen, go to Options -> Memory Card and select Load . The game will not automatically recognize your progress until this is done.
To make your PSX save game work, you must manually navigate to the Options menu from the title screen to load or save data. Unlike modern games, it does not always auto-load progress upon startup. Quick Fixes for Common Saving Issues bloody roar 2 psx save game work
If you want to unlock all characters (like Shenlong and Gado) and secrets instantly, you can download a complete save file from GameFAQs . On the title screen, go to Options ->