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The defender departed Milan after his contract expired at the end of last season, having captained the Rossoneri to their first Scudetto in 11 years.
Romagnoli, who is a lifelong Lazio supporter despite having spent his youth career with rival Roma, has put pen to paper on a five-year deal with the Biancocelesti.
The 27 year-old is Maurizio Sarri's fifth signing of this window after Marcos Antonio, Mattia Zacagni, Matteo Cancellieri and Nicolo Casale.
The Italy international will certainly bring plenty of experience to the heart of defence for Lazio, who are aiming to improve on their fifth-place finish in Serie A last season.
Romagnoli made 246 appearances for Milan in all competitions after arriving from Roma in 2015, scoring 10 goals.
The centre-back took over the captain's armband in 2019 following Leonardo Bonucci's return to Juventus, but made just 19 appearances last term and left the Rossoneri after failing to agree terms over a new deal at San Siro.