In many situations, they will be the same.
But let's say you have worked at four jobs: 1, 2, 3 and 4
You are talking to someone about a time when you were at job #2, and you want to refer to something you leanred in job #1. You can say "My previous job" in that situation, referring to the one that came right before it.
However, if you are now at job #4, and you want to refer to job #3, then "my last job" and "my previous" job are exactly the same.
[ a writer, not a teacher ]