The most "accurate" sentence is the second one. I agree with Sebastian — while sounds better. To my American ear, "I would say "I had" a good experience when I trained at ___ to make the tenses correspond. "I've had" suggests that you began an action and are continuing it in the present, but I'm pretty sure that "I've had" is how British English marks past tense.

actually i think while is better. I've had a good experience while training... at the gym, for example