I tried to save a copy of my 2018 federal and state returns but am only able to save my state only. How do I also save a copy of my federal?

Please try this print option:

Please log back in your TurboTax account and "add a state" to open the return back up (you are not really adding a state, just to open it back up), then select Tools on the left, Print Center and choose the print center, then select returns and choose to print just the tax return or to include all worksheets as well.