Is Sandboxie safe for me to use?
I want to test some untrusted software to check them, for this reason, I researched for a good sandbox software and I found Sandboxie. I tested few safe applications, but I am not sure if I can run untrusted applications also?
Is Sandboxie safe depends on your risk tolerance. I've done it before with no ill effects, but the gold standard for this sort of thing is to use a virtual machine.
Sandboxie is a solution that avoids the need for a fully virtualized machine by wrapping the userspace APIs that programs have access to. Unless they've screwed up and missed one, that'll do the trick -- but the available attack surface is much less well-documented and there's a lot less defense in depth than a VM.
If you're using a recent Windows 10 build, you can install the Windows Sandbox (just run OptionalFeatures.exe and check the box), a very nice and speedy VM just for this sort of thing. Once it's installed, you can just cut-n'-paste the suspect file in there and see what happens. However, closing it will clear the sandbox; Sandboxie can retain state if you want it to, which can be useful sometimes.