The meeting, which took place at the Gazprom Arena in St. Petersburg, ended with a score of 1: 1.
Zenit scored first.
At the 32nd minute, Alexander Erokhin scored with the transfer of Artem Dziuba.
Lazio responded with a goal by Felipe Caicedo, who scored in the 82nd minute with an assist from Francesco Acerbi.
In the fourth round, Zenit and Lazio will play in Rome.
The match will take place on November 24.
Earlier it was reported that Miranchuk's goal from the penalty spot helped Lokomotiv draw with Atlético in the Champions League.