While the visitors swept aside Feyenoord in their opening Group H fixture last week, the hosts suffered an early setback in Austria; losing 1-0 to Sturm Graz.
Match preview
Kicking off their 10th participation in the Europa League since its inception in 2009, Lazio raced into a three-goal lead before half-time at Stadio Olimpico, as they put last season's beaten Conference League finalists Feyenoord to the sword.
After Luis Alberto opened the scoring, Felipe Anderson added a second for the Biancocelesti, before the unlikely figure of Matias Vecino chipped in with two more - one either side of the break: the latter had only scored twice in his 19 previous appearances in Europe, for Fiorentina and Inter.
Though Maurizio Sarri was dismayed to then concede two goals in the final 20 minutes, his side took a positive first step towards securing a top-two place in Group H and, with it, Lazio's place in the knockout phase for an eighth time.
However, their exit to Porto in the playoff round of last season's competition came after another defeat away from home: Lazio have won just one of their last 13 games on the road in Europe; losing eight times in the process.
Since Sarri's reign in Rome began last year, the Aquile have been particularly inconsistent when leaving the Italian capital, so may travel to Jutland in some trepidation despite earning their third win of the Serie A season on Sunday, at home to Verona.
Captain and star striker Ciro Immobile - who has found the net 20 times in 31 European games for the club - scored the opener at the weekend, and his input could be crucial on Thursday too.
Having been eliminated at the group stage of last season's Europa League, Midtjylland started their latest campaign in the competition with the clear aim of going further this time around.
Behind to Sturm Graz after only eight minutes, though, last term's Danish Superliga runners-up came away empty-handed on the opening night, despite playing with an extra man for the final part of the game, once their hosts had been reduced to 10 men.
That reverse continued a worrying trend for a side that have struggled to get going in the early weeks of the season - taking only 10 points from nine matches to lie eighth in the Superliga standings, and being knocked out of Champions League qualifying by Benfica.
After finishing among Denmark's top three in 10 of the last 11 years, the Wolves' hierarchy saw fit to act at the end of August; axing manager Bo Henriksen to make way for former Barcelona B coach Albert Capellas.
With two losses and one win from his four games in charge so far, Capellas has his work cut out if Midtjylland are to repair their ailing morale and go beyond the Europa League group stage for a second time in the club's short history. Therefore, making the most of home advantage this week is surely a must.
FC Midtjylland Europa League form:
FC Midtjylland form (all competitions):
Lazio Europa League form:
Lazio form (all competitions):
Team News
Amid a packed schedule up until the forthcoming international break, Lazio are expected to make a handful of changes to their side on Thursday, as Luis Alberto, Matias Vecino and Alessio Romagnoli could be brought back into the starting XI.
Maurizio Sarri has an almost fully-fit squad to choose from, but Manuel Lazzari was forced off by an apparent hamstring injury in the 2-0 win against Hellas Verona on Sunday, so Elseid Hysaj is likely to start in the visitors' back four instead.
More positively for Sarri, Danilo Cataldi is back in the fold following suspension and could feature in central midfield.
Midtjylland, meanwhile, are expected to name a similar team to that which lost in Graz last week, with Sory Kaba supported by Pione Sisto and Gustav Isaksen up front.
Erik Sviatchenko captains the home side from centre-back, while Anders Dreyer provides a goal threat from midfield with his long-range shooting ability.
FC Midtjylland possible starting lineup:
Lossl; Dalsgaard, Sviatchenko, Juninho, Paulinho; Dreyer, Sorensen, Evander; Isaksen, Kaba, Sisto
Lazio possible starting lineup:
Provedel; Hysaj, Casale, Romagnoli, Marusic; Vecino, Cataldi, Alberto; Anderson, Immobile, Zaccagni
We say: FC Midtjylland 1-2 Lazio
Back on the winning trail during the past week, and able to score from a variety of sources, Lazio should take advantage of their hosts' brittle confidence to post a second straight victory in Group H.