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On July 31, 2015, Milinkovic-Savic made a dramatic move to Italian club Lazio. He made his debut for the team on 18 August 2015 and quickly established himself as a key player. His standout performance came in the 2017/18 Serie A season, in which he scored 12 goals in 35 matches, becoming Lazio's second top scorer behind Ciro Immobile. That season he not only scored against Atalanta, Chievo and Sassuolo, but was also named Serie A Team of the Year.

His versatility continued to be recognized and he was awarded the Serie A Midfielder of the Year title at the end of the 2018/19 season. And in December 2019, he cemented his reputation by being named Italian League Player of the Month.

In the summer of 2023, Milinkovic-Savic unexpectedly moved to the Saudi Arabian club Al-Hilal, signing a three-year contract with the option of extending for another year. The deal reportedly brought Lazio around €40 million. The move marked a new chapter for Milinkovic-Savic as he continued to showcase his skills on the international stage.