Tudor was in charge at the Serie A club since March when he replaced Thiago Motta in the role.
Juventus are currently eighth in the Serie A standings while the 1-0 loss against Lazio was their third consecutive defeat in all competitions.
"The club thanks Igor Tudor and his entire staff for their professionalism and dedication over the past few months and wishes them all the best for their future careers," a Juventus statement read.
The club added that Massimiliano Brambilla will take charge of the side for their league fixture against Udinese on Wednesday.
Juventus are also 25th in the Champions League group stage table, having lost once and drawn twice in their opening three matches.