Not exactly. "Surrounded... by [sea/gulf]" makes me think that Iran is an island. You can use "bordered", and maybe you'll have to include the neighbouring countries as well.
You also need an article for the names of the water masses, otherwise it sounds like an unmeasured amount of that particular body of water.
"Iran is bordered by the Caspian Sea on the north and the Persian Gulf and the Gulf of Oman on the south."
(We usually say "the Gulf of Oman" ahead of "the Sea of Oman"... technically, it's neither. It's a strait.)