The word, WITH, means "in the presence of or associated with". I would say, "I had another an interview with Company XYZ" because the interview is with a person or representative. For example, you would say, "I had an interview with 3 representatives from Company XYZ". However, the job offer comes FROM Company XYZ. The word, FROM, means "originating".

I have received a second job interview from another company.

I have received a second job interview from another company.

You don't really 'receive' an interview. You could receive an invitation to an interview, or you could have an interview. By phrasing it the way you have, it is ambiguous whether the interview has happened already or not. Note that Naomi has rephrased your question to avoid this issue.