The teams reconvene at Rome's Stadio Olimpico, following a shock 5-1 victory for the Danish side in last month's reverse fixture, but the humbled Biancocelesti have been in brilliant form since: claiming four wins from five in Serie A.
Match preview
Due to the incredibly tight nature of Group F, nothing can be settled on its fifth matchday, so qualification for either the last 16 or playoff round will go down to the wire.
However, to put themselves in the most advantageous position possible - and glean a little revenge for their unexpected thrashing in Denmark - Lazio will be intent on continuing a six-match unbeaten run at home in the Europa League.
Having been held twice in back-to-back fixtures with Sturm Graz - the second seeing goals from Pedro and Ciro Immobile salvage a 2-2 draw for the 10-man Biancocelesti - Maurizio Sarri's men require a positive result if they are to be confident of prolonging their latest European adventure.
Now taking part in the continent's second-tier competition for the 10th time since its inception in 2009, securing a top-two spot would seal Lazio's place in the knockout phase for a ninth time.
Recent events certainly indicate they can achieve such an aim, as on Sunday they ended Atalanta's 10-game undefeated streak to leapfrog La Dea into third spot in the Serie A standings - and without the help of injured star striker, Immobile.
Not only that, but the Roman club have now won four of their last five league matches without conceding a single goal; indeed, they are unbeaten in seven games across all competitions, scoring 16 times in the process.
Lazio have lacked the same fluency in the Europa League so far, and their defeat to Midtjylland was the first time they had shipped five goals in a European tie since April 2000. They may well, therefore, be eyeing up a dose of redemption on Thursday.
Since losing in Graz at the start of September, Midtjylland have matched Lazio's impressive form, and they are undefeated through their last 10 matches at home and abroad.
The Wolves were seven games into that run as they took on Feyenoord last time out in the Europa League, just a week after being held to a 2-2 home draw by the Eredivisie side.
In another absorbing encounter, Albert Capellas saw his team go ahead in the 16th minute, but they ultimately had an Erik Sviatchenko equaliser to thank for saving a point at the ever-intimidating De Kuip.
As a result, Midtjylland have now won just one of their last 14 away games in Europe - losing on seven occasions - though they did manage to beat Crvena Zvezda at the Marakana last year, which bodes well for their trip to the similarly imposing Olimpico.
Like Lazio, their Europa League fate still rests in their own hands, with a final-day decider on the cards next week, when they host Sturm Graz back in Jutland.
Over the past few days, last season's Superliga runners-up have progressed to the fourth round of the Danish Pokalen before fighting back for a point in a clash with reigning champions Copenhagen. That leaves them fifth in the domestic table, but gaining a top-two place in Group F is now foremost in their minds.
Lazio Europa League form:
W
L
D
D
Lazio form (all competitions):
W
D
W
D
D
W
FC Midtjylland Europa League form:
L
W
D
D
FC Midtjylland form (all competitions):
D
D
W
D
W
D
Team News
Lazio are still learning to cope without their captain, as Ciro Imobile is sidelined by a hamstring injury which could keep him out until December. In his absence, either Felipe Anderson or Pedro will occupy a 'false nine' role, or to ease their workload, young Matteo Cancellieri could come into the front three for either.
Maurizio Sarri will also have to replace another Italy international, Manuel Lazzari, who is suspended following his red card against Sturm Graz, and he had injured his ankle on Sunday in any case. Elseid Hysaj steps in at right-back.
In midfield, Matias Vecino is set to be rested, leaving Danilo Cataldi and Toma Basic to battle it out for selection alongside Luis Alberto - who did not play at the weekend due to a minor knock - or chief creator Sergej Milinkovic-Savic.
Midtjylland, meanwhile, may be without Joel Andersson and midfielder Oliver Sorensen again, while long-term absentee Junior Brumado is definitely unavailable.
The visitors are expected to retain their 4-3-3 system, which should see Sory Kaba starting up front and Emiliano Martinez - who scored his first goal for the club in Rotterdam earlier this month - anchoring midfield.
Lazio possible starting lineup:
Provedel; Hysaj, Patric, Gila, Marusic; Alberto, Cataldi, Basic; Cancellieri, Anderson, Zaccagni
FC Midtjylland possible starting lineup:
Lossl; Thychosen, Sviatchenko, Dalsgaard, Paulinho; Evander, Martinez, Olsson; Dreyer, Kaba, Sisto