Both last and previous are perfectly OK in this context. In modern English, last sounds more informal, but could cause confusion because last can mean either the most recent or final. previous has no meaning other than the most recent.
Currently, last is about three times more frequently used than previous: Historically last was much more widely used, with previous only coming into use in about 1820.
Note that your example sentence is missing a few words:
As I recall, the teacher wrote something on the board during the last session.
With dates (last month, last year) it is acceptable to omit during the, but not in this context. It cannot be omitted under any circumstances with previous.