This is a problem that shouldn't happen. All the files should be available after the SDCard has been inserted in the phone's SD card slot. However, I recommend checking the SDcard on the computer using the built-in check disk utility.
Connect the SDcard to the computer with the help of a card reader, then go to Start > Run > Cmd. With the card plugged in, switch to the command prompt and type chkdsk G: /F. This will scan and fix the card's errors. Depending on the size of the card, the process might take a minute or two.