Iceland led most of the way thanks to an own goal after 14 minutes by Edson Alvarez, but Mexico finally found a rhythm in the second half.
Lozano came on in the 63rd minute and equalised 10 minutes later, sending a right-footed shot past Runar Alex Runarsson.
The Napoli forward netted the winner in the 78th minute, heading home Hector Herrera's cross from close range for the final margin.
Lozano remains the only player to score for El Tri in 2021 after his 89th-minute goal beat Costa Rica 1-0 in a March friendly.
Mexico next face the Ticos in the CONCACAF National League semi-finals June 3 in Denver, while Iceland visit Faroe Islands in a June 4 friendly.