I read somewhere that after killing Handsome Jack and the Warrior, if you did not click on the True Vault Hunter mode, you could still access it by just starting a new game and you would still have all your XP's, current level, weapons, etc. Well, I did, and I lost everything! And to top it off, I had to start from scratch, level 1! Is there any way I can still get back to my current level of 37 again, Or is all that "work" lost for good?
I reckon you're starting a New Game, which will start a new character from Level 1.
To change from Normal Mode to True Vault Hunter mode, go to the Main Menu > Select Character > Select your character which has finished Normal Mode > Select 'True Vault Hunter Mode' as your Playthrough mode: