The Bundesliga giants travelled to Rome for the first leg of their last 16 tie, but it didn't go to plan.
An incohesive display from the away side saw Lazio threaten but Danish forward Gustav Isaksen squander a number of chances.
Then it was up to forgotten former West Ham man Felipe Anderson to step up.
The Brazilian winger, who played for the Hammers from 2018 to 2021, decided to run at the Bayern defence and caused all sorts of trouble before finding Isaksen.
Just as the youngster was looking to shoot, in came Dayot Upamecano, whose boot collided with the striker's ankle.
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Referee Francois Letexier was in no doubt and awarded a penalty, and followed that up with a red for the Frenchman.
Kane tried to calm his teammate down, but after VAR confirmed the decisions, they had bigger problems as Ciro Immobile stepped up to score from the spot.
Lazio held on to claim a first-leg lead, and even looked the more likely to score of the two sides after the opener.
The result comes straight after Bayern's hugely damaging 3-0 defeat against Bayer Leverkusen, dropping five points from the league lead and ever closer to a trophyless campaign.
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Kane is yet to win a trophy in his professional career, and joining Bayern looked like a near-guarantee that run would come to an end.
However, already out of the DFL Super Cup and DFB Pokal, Bayern's chances of a first trophyless season in 12 years are increasing with back-to-back hammer blows in the Bundesliga and Europe.