The Scudetto holders came from behind to earn a draw against the Reja's men but will be disappointed not to kick off the defence of their title with a win at San Siro
The visitors took a shock lead with goals from new arrivals Miroslav Klose and Djibril Cisse, but Zlatan Ibrahimovic and Antonio Cassano ensured the champions did not begin the new campaign with a whimper.
New Milan signing Alberto Aquilani was gifted an early opportunity to mark his debut with a goal after Ibrahimovic played him in one-on-one with Albano Bizzarri, but the Argentine stopper blocked his effort.
However, Lazio began to pile the pressure on their northern Italian counterparts, and it proved fruitful as ex-Bayern Munich star Klose opened the scoring with a sublime finish on 12 minutes.
Stefano Mauri floated a curling ball into his path and the Germany striker collected the ball magnificently, showing great footwork to weave his way around Alessandro Nesta and Thiago Silva in the box and coolly drive his shot past Christian Abbiati.
It then got worse for the Scudetto holders only six minutes later, as Cisse made it 2-0 by meeting another of Mauri's pinpoint crosses from the right and powering a bullet header past the helpless Abbiati in the Milan net.
The hosts were shell-shocked but recovered in the 29th minute as Ibrahimovic opened his account for the new season with a simple tap-in, after fantastic build-up play from Aquilani.
Cassano then showed his predatory instinct in front of goal to grab an equaliser for Milan on 33 minutes. Aquilani again featured prominently, whipping in an inswinging corner, as it proceeded to meet the head of the No. 99 and the back of the net.
The second half offered far less invention and entertainment in comparison to the frantic first 45, as both teams took their foot off the pedal, content to maintain a slower tempo for the remainder of the match.
Cassano's explosive right-footed shot off the post was the closest Milan came in the second half while Ibrahimovic and substitute Alexandre Pato fluffed great chances to beat Bizzarri from close range, as both sides shared the spoils at San Siro.