Manuel Lazzari scored an own-goal and Lazio gifted Adrien Tameze the winner in Rome. Felipe Caicedo had equalized for the capital side early in the second half.
Reina, capped 36 times by Spain and winner of the 2010 World Cup, previously played for Barcelona and Villarreal in Spain before joining Liverpool in 2005.
Premier League: Aston Villa sign former Liverpool goalkeeper Pepe Reina on loan as replacement for injured Tom Heaton
Villa, who are in the relegation zone in the English Premier League, made the move for the 37-year-old Reina after first-choice goalkeeper Tom Heaton was ruled out for the rest of the season because of a knee injury
Serie A: AC Milan earns comeback win over Genoa thanks to Pepe Reina's heroics; Sampdoria collapses to third consecutive defeat
The three points ensured Milan avoided a fourth consecutive defeat and moved them up five places to 11th position after seven games.
Coppa Italia: Lazio midfielder Joaquin Correa's late strike sinks AC Milan in game marred by fascist flash mob to reach final
Joaquin Correa's second-half winner sent Lazio into the Coppa Italia final with a 1-0 victory over AC Milan at the San Siro on Wednesday, in a game marred by away fans holding a far-right flash mob
Serie A: Napoli fans sweat on futures of manager Maurizio Sarri, key players after title chase ends in agony
With Napoli almost certain to miss out on the Serie A title again, their fans are wondering whether coach Maurizio Sarri and his players will stay for one more try or whether their cherished team is on the point of breaking up.
AC Milan goalkeeper Gianluigi Donnarumma insisted Tuesday he was "calm and happy" with the Serie A club despite talk he wants to leave.
Serie A: Juventus ride on Gonzalo Higuain's goal to hand Napoli first defeat of the season; Roma ease past SPAL
Higuain had surgery on Monday, but insisted on starting in a key clash between league leaders Napoli and the six-time defending champions.
Jorginho fired Napoli back top of Serie A on Sunday with a 1-0 win at Udinese as champions Juventus returned to winning ways 3-0 against Crotone.
Juventus closed the gap at the top of Serie A with a 2-1 win over bottom club Benevento on Sunday as leaders Napoli were held by Chievo and Inter Milan drew 1-1 against Torino.
Napoli president Aurelio De Laurentiis said on Wednesday he had rebuffed an offer from Paris Saint-Germain for Spanish goalkeeper Pepe Reina.
Real Madrid's Marco Asensio capped a magnificent few months with a recall to the Spain squad on Friday for a friendly with Colombia and World Cup qualifier at Macedonia next month.
Take a look at the some of the best Mannequin Challenges from around the sporting world.
Marek Hamsik's celebrations at hitting his 50th Napoli goal at the San Paolo were tempered by a 1-1 draw with Lazio in Serie A on Saturday.
Captain and regular goalkeeper Iker Casillas' poor play in Friday's 5-1 loss to the Netherlands had given De Gea a possible chance to take over the starting role.
Reina, 30, who joined Liverpool in 2005, said he wanted to extend his contract at Anfield and was not consulted before the loan move was agreed.