Pentiment basically creates a new save every time you enter a location and keeps the most recent 8 of those saves. That's how far back you can go at most. However, if you're playing mostly with a mouse, the game kinda hides this history from you. It's more visible when you're using a controller or navigate using the keyboard (because the game only starts showing the related controls when you're navigating between save slots).
Here's how you load an older savegame:
Keyboard/mouse: Go to the main menu and click New Game. Navigate to the save slot from which you want to restore (use movement or cursor keys here), then press Tab and select the savegame you want to restore.
Controller: Go to the main menu and select New Game. Navigate to the save slot from which you want to restore, then press Y (Xbox controller) or △ (PlayStation controller) and select the savegame you want to restore.
