Also on target were Dries Mertens and Michy Batshuayi after the visitors had taken a surprise 1-0 lead.
Hazard constantly propelled the Belgian side towards the 16-yard box was instrumental in all of the hosts' goals.
Hazard, Lukaku and Kevin De Bruyne will be hoping for redemption during the June 14-July 15 tournament in Russia after being knocked out in the quarter-finals at both the last World Cup in Brazil and from Euro 2016 in France.
Belgium start their World Cup campaign next Monday against Panama in Sochi before facing Tunisia and England in Group G.
On Monday, the hosts piled on the pressure from the start but failed to capitalise on their early chances. Their defence, missing injured veteran Vincent Kompany, looked shaky on the rare occasions it was tested.
Much against the run of play, Costa Rican captain Bryan Ruiz put the visitors ahead in the 24th minute after calmly latching on to Jan Vertonghen's poorly cleared header.
That spurred the Belgians into action as Mertens equalised seven minutes later by netting a neat pass from Hazard.
Just before halftime, Belgium's top scorer Lukaku put his side in the lead following a cross from Mertens.
Belgium coach Roberto Martinez said he was encouraged to see how his team reacted after going a goal down.
"I get the feeling this team wants to face adversity together. We are ready, ready for the World Cup," he said.
Costa Rica made five changes from the side that were beaten 2-0 by England last Thursday but that made little difference as another goal by Lukaku as well as one from Batshuayi sealed their fate.
Costa Rica get their World Cup E campaign under way against Serbia on Sunday in Samara. They will also face Brazil and Switzerland.
Costa Rica coach Oscar Ramirez said his team had effectively been engaging in "damage limitation" in the second half and would be looking for more speed, sharper passing and a tighter defence in Russia.
(Reporting by Robert-Jan Bartunek and Philip Blenkinsop, editing by Pritha Sarkar)
