Insert this in your event editor:
*Sprite - On Any Animation Finished
--------->Sprite -> Play From "Beginning"
or If you have a specific Animation Name for example called "Idle"
*Sprite - On Animation FInished ("Idle")
--------->Sprite -> Set Animation "Idle" From "Beginning"
This is what I do in my Event Sheet :
KeyBoard - On Left Arrow Pressed - "Set animation to "Walk" (play from beginning)
"Set Mirrored"
KeyBoard - On Left Arrow Released - "Stop loop"
"Set animation to "Idle" (From beginning)
"Set not mirrored"
"Set mirrored"
Is this correct?