I am a little bit confused about the use of "each" with the correct noun. For example, for the use of "each" Which expression is correct? Each of the previous month or each of the previous months?
...each of the previous months is correct, because you are selecting from multiple months. Compare to ...each of the previous five months, or ...each of the previous twelve months.
Unless, of course, this fragment is meant to be possessive. That's another issue altogether.
Months is correct as Davo mentions. It might be helpful to think of it this way:
Each month during the last twelve months...
Your phrase is conveying the same idea in a less specific sense.