For the electromagnetic field, we can define the EM energy:
$$\mathcal{E}_{EM}= \frac{1}{2} \int_V \left(\varepsilon_0\boldsymbol{E}^2+\frac{\boldsymbol{B}^2}{\mu_0}\right)dV$$
And because charged particles experience a change in kinetic energy given by:
$$\frac{\text{d}\mathcal{E}_K}{\text{d}t} = \int_V \boldsymbol{j}_q\cdot \boldsymbol{E}\ dV$$
where $\boldsymbol{j}_q$ is the density current, then Maxwell's equations imply that:
$$\frac{\text{d}\mathcal{E}_K}{\text{d}t} + \frac{\text{d}\mathcal{E}_{EM}}{\text{d}t} = 0$$
In the case of the gravitational field it is still true that:
$$\frac{\text{d}\mathcal{E}_K}{\text{d}t} = \int_V \boldsymbol{j}_m\cdot \boldsymbol{g}\ dV$$
where $\boldsymbol{j}_m$ is the mass flux. Thus, one would expect in the gravitational case to have a conservation law of the type:
$$\frac{\text{d}\mathcal{E}_K}{\text{d}t} + \frac{\text{d}\mathcal{E}_{G}}{\text{d}t} = 0$$
However, it is not clear that even in the Newtonian context this is true (of course, in general relativity in the case of non-static space-time it is not possible to define global energy that is conserved).
My attempt was to define Newtonian gravitational energy as:
$$\mathcal{E}_{G}= \frac{1}{2} \int_V \frac{\boldsymbol{g}^2}{4\pi G}dV$$
but this does not seem to work unless:
$$ {4\pi G}\boldsymbol{j}_M + \frac{\text{d}\boldsymbol{g}}{\text{d}t} = 0$$
But it is not clear that this can be true in general.