Cristian Ledesma set up the first for Ederson and then scored himself from the penalty spot to give the hosts a commanding half-time lead.
Siena more than played their part in an evenly-matched encounter, but Massimo Paci's stoppage-time goal was all they had to show for their efforts and they remain in the bottom three after six games.
Paci carried their main threat and the defender tried his luck in the seventh minute, but his 25-yard effort was always rising.
Lazio's breakthrough came from a set-piece as Ledesma's corner was headed home from close range by Ederson.
Siena's Francesco Valiani shot over before goalkeeper Gianluca Pegolo's foul on Miroslav Klose allowed Ledesma to double his side's lead from 12 yards.
Paci went close at the start of the second half and team-mate Reginaldo was also just off-target as Siena sought a way back into the game.
Lazio's finishing was not up to their first-half standards, with Ledesma and Klose both a long way off-target.
Alessio Sestu drew a low save from Federico Marchetti before the hosts again failed to kill the game off, Antonio Candreva blazing an effort wildly over.
A Siena corner in the first additional minute led to Paci stabbing the ball home from close range, but it was nothing more than a glimmer of hope for his side as time ran out.