The Italian side crashed out of the Europa League as Fenerbahce secured a place in the last four following an impressive display at the Stadio Olimpico.
Senad Lulic had put the home side 1-0 up on the hour mark after heading past Volkan Demirel, but Caner Erkin leveled up the encounter on the night with 15 minutes remaining to put his side 3-1 up on aggregate as Fenerbahce secured its place in the last four of the Europa League.
The first clear cut opportunity of the game fell to Antonio Candreva following some sloppy defensive play by Cristian as the Lazio winger fired a tame effort goalbound that was easily held by Volkan Demirel.
The home side pressed to net early on as Hernanes saw his long distance effort inadvertently blocked by Libor Kozak before the Brazilian midfielder looked to audaciously catch Demirel out from a long range free kick.
Ederson was lively early on for Lazio, but could only drag his effort wide, before Raul Meireles mustered Fenerbahce's first shot as his volley drifted aimlessly wide of Federico Marchetti's goal.
Candreva smashed a volley over and Hernanes saw his low drive easily held by Demirel before the Fenerbahce goalkeeper denied Ederson with his feet from close range.
The Biancocelesti began the second half the way they ended the first as Candreva excellently picked out Kozak in the Fenerbahce box, only for the burly striker to head over from six yards out.
Derimel denied Stefan Radu with a long distance effort, but couldn't keep out Lulic's header on the hour mark after Candreva picked out winger from the right.
Lazio continued to press for a second, but came undone with a quarter of an hour to go after Pierre Webo held up the ball up superbly in the Lazio box before he played across to Erkin to smash past Marchetti and give Fenerbahce the advantage.
The goal spurred Lazio on with 10 minutes to go as Radu fired wide before Lorik Cana forced Demirel to expertly tip his header over the bar.
The Italian side continued to pressure to add a second in the dying embers of the encounter, but it was in vain as the club crashed out of Europe 3-1 on aggregate to Fenerbahce.