Inter dominated the game, but were unable to convert their possession and chances into goals.
Francelino Matuzalem put Lazio ahead against the run of play in the 63rd minute before a touch of class from Tommaso Rocchi doubled their lead three minutes later.
The impressive Samuel Eto’o pulled a goal back in the 78th minute, but despite their efforts, Inter were unable to find an equaliser as they missed out on the first piece of silverware this season.
Mauro Zarate created the first chance of the game when a defensive mix-up almost put Rocchi in for the opener, but Maicon cleared the danger at the last moment.
Zarate then tested Julio Cesar as Lazio, despite not having much of the possession, managed to carve out the best chances.
Lucio had Inter’s best chances with two headers from corners both bringing saves out of Fernando Muslera.
Inter started the second half on the attack with Eto’o missing a golden opportunity to put Inter ahead after 55 minutes when he cut out a back pass and rounded Muslera, but pulled his shot wide of the far post with the goal gaping.
Diego Milito had two more shots saved as the Nerazzurri peppered the Lazio goal, but they were caught with a sucker punch as Lazio took a shock 63rd-minute lead.
Zarate’s direct free-kick took two deflections on its way through to Matuzalem, whose first effort was rebounded into his face by Julio Cesar with the ball cannoning back over the line.
Rocchi made it two three minutes later with a masterful lob from the edge of the penalty area with Julio Cesar caught off his line.
Inter boss Jose Mourinho sent Mario Balotelli into a three-man attack and it was not long before they were back in the game.
He stole the ball off Olivier Dabo and lifted it into the path of Eto’o, who opened his account for Inter in style with a powerful volley into the roof of the net in the 78th minute.
Milito thought he had equalised in the 87th minute, but Eto’o was adjudged to be interfering with play from an offside position as he let the ball pass through his legs into the goal.
And Eto’o went close to a second in stoppage time with a direct free-kick which missed the post by inches, but Lazio held on to win the Supercoppa for the third time in their history.