The recent signing from Manchester City gave his side the lead at the San Siro before his late penalty secured the Rossoneri the victory.
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The home side ended the first half in front when Balotelli struck home a volley on 25 minutes following Stephan El Shaarawy's cross.
Milan nearly took the lead again with 15 minutes left to play, but Mbaye Niang's powerful effort rattled the crossbar.
The hosts eventually grabbed a winner from the penalty spot deep into injury time when El Shaarawy was brought down by Thomas Heurtaux.
Balotelli stepped up to take the spot kick and calmly slotted it in to cap a dream debut.