They're all correct and possible. " When I last saw him I hid in the closet. " Etc.
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AnonymousWhen I last saw him I went to the cinema. ...
When I last saw him I was going to the cinema.The first is not likely what you want to say. It suggests that I saw him and then I went to the cinema, almost as if my reason for going to the cinema was the fact that I saw him.