In the summer of 2002 Mancini returned to Lazio, this time as first-team coach. In his first season they finished fourth in the league, which meant playing in the Champions League.
The following year he won the 2003/04 Coppa Italia, the fourth for president Cragnotti's club and the second as a coach for Mancio after the one conquered with Fiorentina. In charge of Lazio he went close to the UEFA Cup final after reaching the semi-final against Porto who won the competition.
The marriage with Lazio - after a 4th and a 6th place in the league - ended in the summer of 2004.