"Lost connection to host or Steam network."

Unfortunately this is a difficult error to troubleshoot. It means the connection timed out, but the game doesn't know whether the problem is on the host's end, local, or in the middle. The most likely cause is from a period of low performance on the client OR server. (e.g. the game froze for ~10 seconds)

It may be worth trying a few different servers to narrow down whether the problem was specific to the host, or whether you lose connection to all servers.

If you lose connection to other servers as well it might be a network issue on your PC, or an outage with your internet service provider (ISP).

If you do still have internet access, you can test whether the problem is specific to Unturned by checking multiplayer in another Steam game like TF2, CS:GO, Dota 2, etc.

If multiplayer works in other games on your PC it might be firewall or anti-virus related. For these you can find troubleshooting articles from the firewall/anti-virus vendor on how to allow a game through.