The Colombian hitman was on hand to score a precious pair as the Rojiblancos put themselves firmly in the driving seat to qualify for the round of 16 in the Europa League
Two goals from Radamel Falcao along with an Adrian finish inspired the Spaniards to a powerful victory, despite Miroslav Klose's opener early on, giving Edy Reja's side a steep mountain to climb in the return leg, having also conceded three away goals.
The match began in favour of the hosts, who took the game to Atleti inside the first 10 minutes, but Hernanes and Klose saw their attempts to break the deadlock prove futile.
The Biancoceleste were rewarded for their bright start on 19 minutes, albeit in bizarre fashion, after January recruit Antonio Candreva let fly a speculative attempt from all of 30 yards, but was poorly misjudged by Thibaut Courtois, who in turn let Klose tap in from close range.
Diego Simeone's outfit were not prepared to simply roll over, as an instant improvement was on the horizon soon after, coinciding with Adrian's equaliser just seven minutes later. The former Deportivo attacker showed great movement to latch onto Falcao's forward header and poke home.
Atleti then went from strength to strength, and it was 2-1 on 37 minutes; this time from Falcao, who netted the first of his two goals. The forward profited from strong individual play by Diego to drill the ball into the area, and allow the in-form South American to put his side in the lead.
Lazio looked shell-shocked, with serious questions being asked of their defence going into half-time, as Reja seemed to have stern words with Giuseppe Biava, who was found wanting for the second goal.
But despite an encouraging start to the second period by the Italians, they were hit on the break as Adrian's burst of pace down the flank provided the platform for Falcao once more to finish inside the box and make it 3-1.
The strike appeared to have killed off any further Lazio threat, as Atletico Madrid were more than happy to retain possession and contain Lazio pressure, which eventually ran out of steam.
A chorus of boos and whistles to the hosts put an end to proceedings, and it will be they who will now attempt to overturn their two-goal deficit in the Spanish capital on February 23.