Just started today
 

2007 Saturn Vue 3.5 On cold start the check engine light comes on when I back out of the driveway. When I put it in drive it goes out. Doesn't happen afterwards in reverse. Only cold start.This just started today. Any ideas?

Get the codes read at Autozone or similar. Not sure if it will show as a historical code or not.
You may need to park it on their lot the night before and have the scanner hooked up after you start the car but before you put it in reverse --THEN read codes while light is on
Might aslo be a pending code that only sets and turns on the light at cold starts. Situation resolves, light goes out.

Does it do it if you put the Vue first into drive, then into reverse? If you leave it in reverse long enough, will the light go out?

Does the engine run smoothly with the car in reverse (stable rpms?)