Like The Phoenix, you are born anew.
Not all heroes are Reborn, but all Reborn are heroes. Certainly they were powerful before they died in whatever world they came from. And they retain the memories of their former lives, including most of the martial, arcane, or other insights that previously gave them power.
You arrive at The Nest of The Phoenix only a few generations after the formation of the world. While copious amounts of creation magic remain in the world, the time before was saturated with it. During that mythic time, the first Reborn were more than Gods – they were Titans, and the scenes of their early deeds form most of the known world today – along with the scars of the first battles with the Reborn who today we worship as Gods.
Some of these Gods fashioned beings as followers, worshipers, and companions. Some were created as conscripts and slaves. Sometimes these groups formed spontaneously with the sacrifice of yet other Gods. Either way, the indigenous peoples of the world are new races, and their offspring can also produce heroes, though without any memories of a former life.
You have just missed the Age of Myth...but perhaps it is this generation that will decide what myths will be passed on, what myths they will change, and what is best forgotten.