Hello folks,
I am new here, it is nice to find a so specific forum and I feel like this is the best place to get a few useful words from professionals.

So, I painted a small part of my car today using a spray gun. But why is it so gritty? Was the air pressure too low or what?

Looking forward for an answer and tips!

There are articles in the Info Center that will help explain setting up a spray gun properly. Many factors are involved, like the air compressor output, airline sizing, air filtration, spray gun quality, materials used and technique.
I suggest you read this article first and pay close attention to the portion on air supply:
https://www.autobody101.com/content/art ... ould-know/