What most likely happened is your friend hosted your initial game together whilst being further than you in the story which means your character never technically completed the first few quests which are important to saving your future progress.

The only way to fix this is for you to host a game and invite your friend. This new game will be tied to your own level of progression. Once you both reach your friend's point of progression in the story you will remain in sync and your position in the story will be saved. The important exception to this is if you progress individually outside of your coop sessions. If you do so, the least advanced player in the story should host the next game to prevent future desynchronisation.

Catching up to the exact quest and quest-step in your own game should do the trick, however, if you want to be absolutely sure, the safest way is to progress slightly past their progress in your own game, and then have them host a game. :)