The Bosnian has been formally unveiled as the new coach of the Italian capital club, who had been looking for a new trainer following Edy Reja's departure
The 48-year-old will take over from Edy Reja, who left the club at the end of the season despite guiding the Biancocelestiti a fourth-placed finish in Serie A.
Petkovic had taken charge of Sion only last month, overseeing the club's two matches in the Swiss League relegation play-offs, but the Stade Tourbillon outfit did not oppose to the coach's decision to move to Italy.
The Bosnian was at the helm of Young Boys between 2008 and 2011 before taking up a coaching position at Samsunspor, whom he left in January 2012 following a run of disappointing results.
Lazio, who collected 62 points from 38 matches in Serie A, have secured a place in the Europa League play-off round next season.