Yes, you can.
This FAQ tells you how to print a copy of your return in TurboTax CD/Download: https://turbotax.community.intuit.ca/community/tax-return-print-save/help/in-the-cd-download-edition-of-turbotax-how-do-i-print-a-copy-of-my-tax-return/00/873745#
This FAQ tells you how to save a PDF copy of your tax returns in TurboTax CD/Download: https://turbotax.community.intuit.ca/replies/2985586