With Bethesda bringing their digital launcher to a close after 6 years, the great migration of accounts over to Steam must begin! Rest assured however, there is a way to transfer your save games, if you really don’t want to lose all your hard earned progress. It all ought to be transferred flawlessly.
Here’s a guide on how to do just that.
Linking your account

Log into your Bethesda.net account and link your steam account there.
You should be given the option to begin transferring your games over to Steam.
Be aware, it can take a little while to complete, but the page doesn’t have to be open while you do it. It ought to all happen nicely in the background.
Transferring save data
Transferring your save data is a little more involved, but Bethesda has provided a series of detailed walkthroughs, for each and every single game that can be migrated here.
https://help.bethesda.net/#en/answer/55036
Bear in mind that by transferring the save data, you will override any save game you may have on your new Steam version of the game. Only transfer the data if you’re happy with losing that.
You will maintain access to your Bethesda.net account for things like game mods, in-game items, that sort of thing. Some games will still rely on players signing into game servers using these credentials, but, the Bethesda launcher won’t be necessary to play the games any more.
Additionally any unused Bethesda.net keycodes will also still be honoured on Steam.