Substitute Sergej Milinkovic-Savic headed in from a corner with eight minutes remaining before Joaquin Correa's solo goal settled a nervy match in stoppage-time.
It was the seventh time Lazio have won the competition and their first triumph since 2013, the capital club’s victory ending four years of Juventus dominance in Italy’s domestic cup competition.
The victory also earned Lazio a place in the Europa League group stage for next season.
"It was a wonderful evening in front of marvellous fans," Lazio coach Simone Inzaghi told Rai.
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"We had a great game, but also congratulations to Atalanta, as it was hard fought, the same way it was in Serie A, and this time we did well to turn the incidents our way.
"I told the lads that at times those who come off the bench are more important than the starting 11. I am satisfied, as we had a wonderful run in this Coppa Italia."
Atalanta, who were looking to lift the Coppa Italia for the first time since 1963, have been the story of the season in Italy, after making a surprise charge into the Champions League places in Serie A.
The game was a nervy affair from the start, but the Bergamo side created the best chance of the first half when Marten de Roon’s deflected shot struck the post with the goalkeeper beaten.
Lazio took the lead when Milinkovic-Savic rose to direct a header into the corner just minutes after coming off the bench.
Correa then put the result beyond doubt in stoppage time as he skipped past a defender, rounded the goalkeeper and tucked a finish in from close range.
“It’s a pity, but these finals are like that," Atalanta coach Gian Piero Gasperini said.
"In the decisive moment, we seemed to be in better shape, but we lost the game on a corner. It’s a shame."
(Editing by Ed Osmond and Toby Davis)
