You are probably shooting raw files.
The preview image is the "preview JPG" embedded in the raw file, which has all the camera settings baked into it.
The raw file has all the camera settings in it as data, but only software made by your camera's manufacturer reads that data. All third-party software ignores the camera settings in the raw files and applies their own default views (or the view you have chosen).
In the Develop module, go to the "camera calibration" panel and try the presets to see which one you like best.
Thank you for your reply.
But, I was always shooting RAW. And I never had to go and modify the profile.
Why, all of a sudden, I have to select a presets in the camera calibration mode?
Different shooting circumstances react differently to the presets.
While the default "adobe standard" may work well for landscape images, it might not do so well for your low-light concert shots.
I did went and changed the Camera Profile and it did reverted to what the preview looked like when I selected Camera Faithful.
Thanks for the tips ManiacJoe. That is very appreciated!