The defending champions had to recover from two goals down to prevent a false start in front of their own fans as a lively Lazio put themselves in the driving seat thanks to two of their new signings, Miroslav Klose and Djibril Cisse.
Zlatan Ibrahmovic and Antonio Cassano then responded for Milan before the interval.
Neither side could keep up the furious first-half tempo during the second 45 minutes and, although Milan carved out the better chances, a draw was a fair result at the end of a lively opener to the season.
It was a sign of things to come when Alberto Aquilani broke into the Lazio penalty area after only a few minutes, but he missed the opportunity to make a dream debut as he shot straight at visiting goalkeeper Albano Bizzarri.
One man who did get to make his dream debut was Klose, who took Stefano Mauri's cross down well, turning inside Alessandro Nesta before shooting past Christian Abbiati to open the scoring in the 12th minute.
He almost got a second five minutes later when Gennaro Gattuso and Nesta both got in each other's way, allowing Cisse to get in a shot which Abbiati only fumbled to the Germany striker, but he placed the rebound wide at full stretch.
Mauri then created the second Lazio goal in the 21st minute with another cross from the right which this time was met by the head of Cisse ahead of Nesta, leaving Abbiati no chance.
Ibrahimovic pulled a goal back for Milan in the 29th minute when he was given a simple tap-in by Cassano, who beat the offside trap to pick up Aquilani's pass.
Milan sensed an equaliser was in the air and Kevin-Prince Boateng's shot nearly caught out Bizzarri at his near post in the 33rd minute.
From the resulting corner, taken by Aquilani, Cassano headed into the far corner to bring Milan level.
Hernanes wasted the chance to restore Lazio's lead in the 36th minute when he shot wide from seven yards, and Cassano went even closer at the other end in the 63rd minute when he hit the outside of the left post.
A good team move by the Rossoneri a minute later culminated in Boateng's shot being saved instinctively by Bizzarri, and Lazio's response came within 60 seconds when Cisse nudged the ball past Abbiati, but Nesta made up for his errors in the first half by scrambling back to touch the ball wide.