Death Defiances in the Hades franchise are equivalent to your 'lives' in most other games. When you run out of health, your character literally 'defies death' to stay in the fight and as such, gets some of their health back. Just like in the first game, when you first start out in Hades 2, you don't have a single Death Defy to your name AKA you only have one Health Bar to use. However, as soon as you begin to understand the Arcana and Grasp systems, you'll have access to the Death Defy mechanic.