There is a know issue with 32 bit versions of windows. This may help, in that case:
Hack for 32bit windows users.
Make sure your firewall isn't blocking access for the game (EoCApp.exe and SupportTool.exe both need access).
See
Killer Networks NIC and can't load the game? Fix!, if applicable.
Try starting the game directly from the '..\SteamApps\common\Divinity - Original Sin\Shipping\EoCApp.exe' program file. Perhaps right click and run as administrator (or right click, select properties and switch to the Compatibility tab if that doesn't help).