Within minutes the visitors had a chance to test the keeper, but Mauricio could only head wide of the far post from Antonio Candreva'c corner.
It was the hosts who were next to threaten as Nicola Sansone fired in a strike which failed to cause any problems for Marchetti.
Lazio soon began to increase the pressure on their opponents goal, as Sergej Milinkovic-Savic saw his low strike saved at the near post, before Candreva lashed a powerful volley inches wide from the edge of the box.
On the hour-mark Sassuolo doubled their lead as Lazio failed to deal with a cross from the right, leaving the unmarked Simone Missiroli to fire in at the back post.
The hosts almost grabbed a third goal three minutes later, but Diego Falcinelli's long-range drive came crashing off the bar.
Lazio then managed to pull a goal back through Felipe Anderson, who was found by Keita Balde Diao's pass inside the box, before placing a low effort into the corner.
The visitors kept pushing for an equaliser in the closing stages, but they were unable to find the net, and they finished the match with 10 men when Danilo Cataldi was sent off for a second bookable offence in stoppage time.