Both Eriksen and fellow United compatriot Rasmus Hojlund began the contest, with Pierre-Emile Hojbjerg putting through his own net to open the scoring.
Lazio man Gustav Isaksen equalised just before the interval to set-up an exciting second half at Parken Stadium.
Isaksen then turned provider on 67 minutes, teeing up Eriksen to slot home past Pierce Charles to complete the turnaround for Denmark.
His latest strike also means the soon-to-be departing United man is now third place in his nation's all-time scoring charts, with 45 goals to his name.