Palermo held Lazio to a goalless draw in the Serie A match at the Stadio Olimpico on Sunday afternoon.
The hosts dominated possession but could not find the finishing touch against the Sicilian club, who defended well.
The result will not please Lazio coach Edy Reja, whose side have yet to win at home this season.
Lazio went into the game on the back of a midweek 2-1 win at Cesena, their first victory of the campaign.
Widely-travelled striker Djibril Cisse should have given Lazio a ninth minute lead when he got behind Senad Lulic's cross - but Palermo goalkeeper Alexandros Tzorvas kept out his right-footed strike.
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