In the 2015–16 season, Lukaku started the season well when he set up one of the goals, in a 3–1 win over Mechelen in the opening game of the season, followed up by scoring his first goal for the club, in a 2–1 win over Westerlo, which he was named Team of the Week. Lukaku continued to be in the first team until he was absence from late-2015, due to injuries. Lukaku then scored his second goal of the season on 31 January 2016, in a 3–3 draw against Mouscron. After returning from injury in early-May, Lukaku scored from his injury, in a 2–1 win over Genk on 14 May 2016. Lukaku finished his second season, making thirty-four appearances and scoring three times in all competitions.
With a hint from the club's president, stating that Lukaku could leave the club in the summer, it was announced on 22 July 2016, he signed with Italian club Lazio for €4 million plus a reported €1 million in performance-related bonuses. Upon joining the club, Lukaku was given a number six shirt and was presented to the club several days later.
Lukaku made his Lazio debut, where he made his first start and played the whole game, in a 4–3 win over Atalanta in the opening game of the season. He continued to remain in the first team until he suffered an injury during an international break that kept him out for a month. It was not until on 27 November 2016 when he made his return from injury, coming on as a substitute in the second half, in a 1–0 win over Palermo.