In a match that was a tale of two halves, Immobile completed the recovery with his second spot kick in stoppage time following a foul from Marten De Roon.
Third-place Atalanta, which extended its unbeaten run to six matches, moved within one point of Inter Milan, which visits Sassuolo on Sunday.
Lazio, which has won only one of its last four matches, is sixth.
In Europe this week, Atalanta visits Manchester City in the Champions League and Lazio plays at Celtic in the Europa League.
Source: Fox Sports