The former Spain winger will remain in the Eternal City in a new era for Lazio under Maurizio Sarri.
Lazio did not state whether they had paid a fee for Pedro or the length of contract he has signed.
The 34-year-old was not part of Jose Mourinho's plans and has now been reunited with Sarri, who he played under at Chelsea.
Pedro has been given the number nine shirt after passing a medical on Thursday.
The former Barcelona wideman made 27 appearances for Roma in Serie A last season, scoring five goals and providing two assists.
Pedro created 29 chances and had a dribble success rate of 64.44.
Lazio travel to Empoli for their first game of the 2021-22 Serie A season on Saturday.