Substitute Luis Muriel pulled a goal back for Udinese on the hour but the Biancocelesti held on for a deserved win.
Lazio fans, however, were barred from entering the north stand of the Stadio Olimpico as a punishment after a section of supporters directed racist abuse at Juventus players in last weekend's Supercoppa Italiana.
The Romans made a flying start and could have been ahead even before Hernanes' opener when Luis Cavanda hit the left-hand post with just five minutes on the clock.
Alvaro Gonzalez headed a Candreva cross just wide but Lazio's early pressure was soon rewarded with two goals in four minutes.
Hernanes grabbed the first on 12 minutes with a stunning strike that left Udinese goalkeeper Ivan Kelava well beaten.
If Kelava could do nothing about that strike he was at fault for the second goal as he brought down Miroslav Klose.
Candreva tucked away the penalty to make it 2-0 and give Lazio a dream start to the new season.
It could have even got better for Lazio as Kelava made a good save to deny Hernanes before Stefan Radu headed a Candreva corner inches wide.
Klose was then set through on goal but with Kelava to beat shot weakly over the crossbar.
Lazio continued to pile on the pressure after half-time. Senad Lulic somehow fired over after Hernanes' free-kick was saved by the over-worked Kelava.
When Lulic did shoot on target, following an incisive breakaway, Danilo cleared away near the goal-line.
Lazio were reminded their poor finishing could cost them when Muriel cut the deficit in half on the hour, beating the offside trap before picking his spot past Federico Marchetti.
Piotr Zielinski then wasted a glorious chance to level on 75 minutes after Maicousel's clever assist. The Polish striker shot over the crossbar and it proved Udinese's last chance to get anything from the game.