You would say we discussed it in the previous lesson.

On is wrong. Because the answer to “on what?” is never going to be “the lesson”. We discussed it at the previous lesson means we discussed it at or around the time of the lesson. Doesn’t necessarily need to have occurred as part of the lesson. we discussed it in the previous lesson means it was discussed during the previous lesson and it is implied that what was said was also part of the lesson content

In spite of one of the answers, 'on' is most definitely wrong. As others have said, 'in' is the correct answer. It is possible 'at' could also fit this sentence and you would certainly hear something like "We discussed it at the previous meeting." However, somehow in this sentence 'at' feels less natural.

On