getLastKnownLocation returns null

You are trying to get the cached location from the Network Provider. You have to wait for a few minutes till you get a valid fix. Since the Network Provider's cache is empty, you are obviously getting a null there..

Use this method to get the last known location:

LocationManager mLocationManager;
Location myLocation = getLastKnownLocation();

private Location getLastKnownLocation() {
    mLocationManager = (LocationManager)getApplicationContext().getSystemService(LOCATION_SERVICE);
    List<String> providers = mLocationManager.getProviders(true);
    Location bestLocation = null;
    for (String provider : providers) {
        Location l = mLocationManager.getLastKnownLocation(provider);
        if (l == null) {
            continue;
        }
        if (bestLocation == null || l.getAccuracy() < bestLocation.getAccuracy()) {
            // Found best last known location: %s", l);
            bestLocation = l;
        }
    }
    return bestLocation;
}

you are mixing the new and the old location API's together when you shouldnt.

to get the last known location all your have to do is call

compile "com.google.android.gms:play-services-location:11.0.1"
mLocationClient.getLastLocation();

once the location service was connected.

read how to use the new location API

http://developer.android.com/training/location/retrieve-current.html#GetLocation

 private void getLastLocationNewMethod(){
    FusedLocationProviderClient mFusedLocationClient = LocationServices.getFusedLocationProviderClient(this);
    mFusedLocationClient.getLastLocation()
            .addOnSuccessListener(new OnSuccessListener<Location>() {
                @Override
                public void onSuccess(Location location) {
                    // GPS location can be null if GPS is switched off
                    if (location != null) {
                        getAddress(location);
                    }
                }
            })
            .addOnFailureListener(new OnFailureListener() {
                @Override
                public void onFailure(@NonNull Exception e) {
                    Log.d("MapDemoActivity", "Error trying to get last GPS location");
                    e.printStackTrace();
                }
            });
}