It's grammatically correct, but a more natural sentence would be: "I gained a lot of practical experience (working) at my previous job." The "working" is optional.

Hi :) I'm not a teacher, but I am a native speaker. I hope this helps. There's something subtly wrong with the words "for the previous company." I'm sorry I can't clearly explain why. It just seems a bit off to me. The sentence would work perfectly if you named the company: "I gained a lot of practical experience when I worked for Microsoft." I believe you could also say, "I gained a lot of practical experience in my previous employment"