Maurizio Sarri's men face an uphill task after losing the reverse fixture in Rome 2-1, leaving the Biancocelesti trailing against the Dutch side, who seldom lose on their turf.
Match preview
AZ's impressive comeback win at the Stadio Olimpico last Tuesday was surprising to some, but it was another feather in the Dutch side's cap in a hitherto encouraging European campaign.
Pascal Jansen's team began their continental journey against Tuzla City in the early qualifying rounds in July 2022 and have not looked back since.
Only two teams — Dundee United and Apollon Limassol — have defeated the Eredivisie outfit in the 13 fixtures they have played in the competition this term.
Both were 1-0 losses on their travels, so alarm bells may have tolled after Pedro Rodriguez put the Italian side 1-0 ahead after 18 minutes last week.
However, Vangelis Pavlidis levelled before the interlude, and Milos Kerkez slipped what turned out to be the winning strike past Luis Maximiano in the 62nd minute, making Jansen's men favourites to advance.
Sarri's troops have had a mixed campaign in Europe this season, evidenced by their exit from the Europa League and their inconsistency in the Conference League.
Particularly worrying is the Biancocelesti's results on their travels around the continent in 2022-23, which reveals the Serie A side are winless in four matches across both tournaments.
Lazio were thrashed 5-1 by Midtjylland in September, could not score in a 1-0 loss at Feyenoord and played out to a goalless encounter against Sturm Graz, while they again failed to score in the reverse fixture of their Conference League playoff meeting with CFR Cluj last month.
The Eternal City club have struggled for goals away from the Olimpico on the continent, and they go into Thursday's meeting recognising the need to find their scoring boots to remain in this year's competition.
Against a side that have won every continental game they have played at the AS Stadion this term, scoring 21 times in six games with just four conceded, the Biancocelesti travel to the Netherlands as outsiders to suddenly turn the tide.
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Lazio Europa Conference League form:
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Team News
Yukinari Sugawara was suspended for AZ in their Eredivisie game with Groningen over the weekend, and the right-back is likely to return to the side in place of Fedde de Jong.
The alteration at full-back could be Jansen's only change to the side that won 1-0 on Saturday, as the manager is expected to go with his 4-2-3-1 approach on Thursday.
Ciro Immobile has been absent since Lazio's 1-0 win over Napoli, and the Italy international is likely to miss Thursday's pivotal game against AZ due to a thigh issue.
That is likely to see Felipe Anderson continue down the middle, with Mattia Zaccagni and Pedro flanking the Brazilian in Sarri's preferred 4-3-3 system.
AZ Alkmaar possible starting lineup:
Ryan; Sugawara, Goes, Hatzidiakos, Kerkez; Reijnders, Clasie; Odgaard, Mijnans, Karlsson; Pavlidis
Lazio possible starting lineup:
Maximiano; Lazzari, Casale, Patric, Marusic; Milinkovic-Savic, Cataldi, Alberto; Pedro, Anderson, Zaccagni
We say: AZ Alkmaar 2-0 Lazio
AZ are unblemished on their turf in Europe, and that run of victories is likely to continue against a Lazio side expected to be without the sidelined Immobile.
Sarri's men have struggled for goals on their travels on the continent all season, making the Dutch side the likelier winner on the night and on aggregate.