Keita Balde Diao threatened early on for the visitors when he latched onto a long ball over the top before volleying over.
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Keita was proving to be a real handful for the Sassuolo defence and he had another chance with a powerful shot from out wide that crashed into the side-netting.
Soon after, there was a moment of controversy as Keita raced through on goal and appeared to be brought down inside the box by Consigli, but the referee waved away Lazio's appeals and instead booked the forward for diving.
However, Lazio finally made their dominance count by taking the lead on the stroke of half time. Felipe Anderson latched onto a clearance just outside the box before curling a strike into the top corner.
Sassuolo came out strongly after the break and Domenico Berardi fired a low effort straight at the keeper.
They had a golden chance to level the scores in the 53rd minute, but, after being found inside the box by Nicola Sansone, Zaza saw his low drive parried away by Marchetti.
Despite those chances, Lazio looked more likely to score the second goal and Keita had an effort ruled out for offside before Biglia curled a free kick narrowly over.
Miroslav Klose was brought on for the visitors in an attempt to seal the points and the German almost made an immediate impact when he flicked Anderson's cross wide at the back post.
The German was far more clinical when he was found by Anderson again five minutes later, powering a header into the net which left Consigli helpless.
Lazio were cruising and in the 77th minute they grabbed a third when the ball deflected through kindly to Marco Parolo, and the midfielder kept his composure to slot an effort into the corner and seal a comfortable win.