Atalanta, who travel to Manchester City in the Champions League on Tuesday, had led 3-0 with 21 minutes to go at the Stadio Olimpico.
But Immobile scored from the spot on 69 minutes and less than 60 seconds later set up Joaquin Correa for the second, before capping the comeback two minutes into injury time with his ninth goal in eight league games this term.
Atalanta missed the chance to usurp Juventus at the top of the table ahead of the defending champions’ game against Bologna later on Saturday.
The Bergamo side remain third, two points behind Juve, with Lazio in sixth place.
Star Atalanta striker Duvan Zapata was sidelined with an injury suffered on international duty with fellow Colombian Luis Muriel taking his place.
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The forward bagged a first-half double as Lazio struggled initially in a rematch of last season’s Italian Cup final which the Romans won.
Muriel put the visitors ahead on 23 minutes when Robin Gosens played the Colombian in on goal.
He scored his second five minutes later from a free-kick, with Alejandro Gomez netting the third eight minutes before the break.
But the visitors lost momentum after the break.
Immobile got one back for Lazio from the spot after being brought down by Jose Luis Palomino and then combined with Correa for their second.
Immobile earned a late penalty after a Marten de Roon foul, celebrating wildly after converting to grab a dramatic point before Lazio’s Europa League trip to Celtic next week.
