In July 2006, after one-and-a-half seasons at Independiente, Lucas Biglia signed with Belgian Pro League club Anderlecht on a four-year contract and upon joining the club, he took up the number five shirt. Soon after, he was joined by his compatriot teammate Nicolás Pareja, Nicolás Frutos and Cristian Leiva.
In the 2006–07 season, Biglia made his debut against K. Sint-Truidense on the opening match of the season, coming on for an injured Mark De Man, in a 4–2 win. Lucas Biglia had a difficult start at Anderlecht, having been left out of the Belgian Supercup squad, which Anderlecht won for the second time in a row. Teammate Yves Vanderhaeghe felt sympathy for him and helped him to settle in Belgium and only speak Spanish there. A month later, he made his UEFA Champions League debut, as Anderlecht drew 1–1 against Lille in the group stage. As the season progressed, Lucas Biglia established himself in the starting 11 at Anderlecht in a midfield position. With his impressive performance at the club, he was awarded the Young Professional Footballer of the Year in January 2007. He then scored his first goal for the club, which came from a penalty kick, as well as, assisting two times during the game, in a 6–0 victory against FC Brussels to win the league this season. He went on to finish the season, making forty-six appearances and scoring once in all competitions.
In the 2007–08 season, Bigila started the season well when he helped the side win the Belgian Super Cup against Club Brugge. and then setting up a goal for Marcin Wasilewski to score the only goal in the match against KV Mechelen 1–0 in the season opener. After the club was eliminated in the UEFA Champions League, Lucas Biglia was considering his future at the club, but remained. Eventually, on 15 December 2007, Lucas Biglia signed a contract that kept him at the club until 2012. After sidelined from injury and suspension, he scored on his return from suspension, in a 5–0 win over Roeselare on 16 March 2008. After making 50 appearances and scoring once in the 2007–08 season, the club finished second place after losing to Standard Liège for the league title, but nevertheless won the Belgium Cup.
Ahead of the 2008–09 season, Biglia expressed desire to leave the club after they won the league, but stayed at the club throughout the summer transfer window and then scored his first European goal in a 2–2 draw against BATE Borisov during the Champions League qualification. Despite suffering minor injuries, Biglia continued to be the first team regular and scored two more goals, which were against Westerlo and Roeselare. In the January transfer window, he was linked with European clubs such as Barcelona, Internazionale, Valencia, Fenerbahce, Galatasaray and Birmingham City. However, he remained at Anderlecht, insisting the club wanted him to stay. The club failed to win the league title in 2008–09. In all competitions, Biglia made 35 appearances and scored 3 goals.
Ahead of the 2009–10 season, Lucas Biglia announced his desire to leave the club in the summer. Despite this, Biglia continued to make a good start at the club when he set up two goals in two matches between 8 August 2009 and 15 August against Cercle Brugge and Westerlo. Biglia then scored his first Anderlecht goal of the season, in the round of 16 of the Belgium Cup, in a 3–0 win over FCV Dender EH. On 17 October 2009, after scoring against Charleroi, Biglia stated his goal was the greatest goal in his Anderlecht career. Biglia suffered a potentially serious injury to his ligament but managed to recover after it was found to be not as serious as first thought. Bigila then scored two more goals in the UEFA Europa League campaign against Athletic Bilbao and Hamburger SV. Despite elimination from the Europa League, the club would win the league title in the 2009–10 season, in which he dedicated the league title to his late father. Biglia went on to make forty-eight appearance and scoring four times in all competitions.
In the 2010–11 season, Lucas Biglia started the season well when he set up a goal for Cheikhou Kouyaté to score the winning goal, in a 1–0 win over Gent in the Belgian Super Cup. However, in a 4–1 win over Eupen in the opening match of the season, Biglia suffered a shoulder injury and was sidelined for weeks. Following Deschacht’s injury, he was served as club captain for the time being until Deschacht returned, only to be injured himself and sidelined for several weeks. He further suffered a hamstring injury that kept him out for the rest of the year. In the January transfer window, Turkish Galatasaray renewed their interest in him and made a bid of €4.5 million. However, the move never materialized due to a lack of funding. Prior to the interests, Lucas Biglia said he would not leave the club in January. Although he was injured again for the fourth time in the 2010–11 season, Biglia made 35 appearances in all competitions.
In 2011–12 season, Biglia signed a new contract that would have kept him at the club until 2015. After the 2011 Copa América, Biglia said he wanted to leave Anderlecht to seek new challenges in a more competitive league. Notwithstanding, Biglia stayed at the club throughout summer and was appointed vice-captain by new manager Ariël Jacobs, with Olivier Deschacht remaining as captain. Lucas Biglia then scored his first goal of the season in a 2–2 draw against Monss on 21 August 2011. One month later, he captained his first Anderlecht match on 15 September 2011, a 4–1 win over AEK Athens. He then went on assisting spree when he assisted five times in four league appearances between 25 September and 23 October, including twice against Beerschot and Westerlo. Biglia was later awarded the captaincy after Deschacht was no longer able to continue the role. Deschacht’s captaincy was met with disapproval by supporters. Towards the end of October, Biglia suffered a shoulder injury which had to be operated on, he was sidelined for four months. He made his return on 15 January 2012, setting up one of the goals in a 3–0 win over Club Brugge. It was not until on 18 March 2012 when he scored his second goal of the season in a 2–2 draw against Sint-Truiden. Despite missing out with a shoulder injury, Lucas Biglia helped the club win the league this season, his first in two years, and went on to make 38 appearances and scored two goals in all competitions. For his performance, Biglia was awarded the club’s Player of the Year by club supporters.
Biglia (wearing number five) in a friendly match against Red Bull Salzburg in 2012
In the 2012–13 season, Lucas Biglia was linked with a move away from Anderlecht, with Arsenal, Norwich City, Real Madrid and Internazionale showing interest. However, he remained at Anderlecht when the summer transfer window closed. In the first half of the season, Biglia continued to impress as a captain and performance and scored three times by the end of 2012 against Waasland-Beveren, Club Brugge and Cercle Brugge. In the January transfer window, Biglia again said he wanted to leave Anderlecht, with Southampton wanting to sign him. Lucas Biglia attempted to force a move by failing to show up for training. After the transfer window ended, the club announced Biglia would leave the club in the summer, along with Dieumerci Mbokani. Biglia would claim his absence was due to depression. He also said he never wanted to leave the club. Later in the 2012–13 season, Biglia scored his fourth goal of the season, but received his first red card in his Anderlecht career, as they drew 2–2 against Standard Liège on 3 February 2013. In the last match of the Pro League play-off, Biglia scored the equaliser against Zulte Waregem, which gave Anderlecht the title. Again leading the club to the league title, Biglia made 51 appearances and scored 5 goals in all competitions.
Shortly after winning the title, general manager Herman Van Holsbeeck confirmed Lucas Biglia would leave the club. During the final match, he performed a lap of honour for the fans. During his time at Anderlecht, Biglia’s playing style was often compared with that of compatriot Fernando Redondo due to his accurate passing and hard tackling.
On 23 July 2013, Italian side Lazio announced Lucas Biglia would be signing a five-year contract for an undisclosed fee. Previously, the club had been Biglia’s main transfer target since 2010. According to Lazio’s financial report, Biglia cost Lazio about €8.4 million, including €750,000 to his agent.
Biglia made his Lazio debut in the opening match of the season, starting and playing the entirety of a 2–1 win over Udinese. However, he was sidelined with a calf injury that kept him out twice throughout 2013. Despite this, Biglia established himself in the starting 11 under the management of Vladimir Petković, becoming the club’s first-choice defensive midfielder. Biglia then scored his first goal for the club on 22 December in a 4–1 loss against Hellas Verona. In a match against Milan on 23 March 2014, he set up a goal for Álvaro González to score the equaliser in an ultimate 1–1 draw. However, after being sidelined with a rib injury, Lucas Biglia was sent-off on his return from injury after a second bookable offence in a 2–0 victory against Sampdoria on 6 April. In the last match of the season, Lucas Biglia scored the only goal in a 1–0 win over Bologna. In his first season at the club, in all competitions, Biglia made 32 appearances and scored 2 goals.
In the 2014–15 season, Biglia continued to start in the first team before suffering a foot injury during a match against Genoa that kept him out for weeks. After returning to the first team, he scored his first goal of the season on 26 October 2014 in a 2–1 win over Torino. He then suffered another injury by the end of the year, but this time, it was a tear in the abductor muscle. Biglia then scored a penalty in the quarter-final of Coppa Italia in a 1–0 win over Milan. Subsequently, he helped the club reached the final, but he did not play, due to injury and Lazio lost 1–0 to Juventus. It was not until 9 March 2015 when Biglia scored again, in a 4–0 win over Fiorentina. He then scored again on 4 April 2015 in a 3–1 win over Cagliari. Despite suffering from another injury, Lucas Biglia finished his second season, making 31 appearances and scoring 4 goals in all competitions.
In the 2015–16 season, Biglia was appointed as the new Lazio captain following Stefano Mauri’s departure (eventually returning to the club soon after) and captained his first match in the Supercoppa Italiana match, losing 2–0 against Juventus. Following the match, Bigila regained a good start in the opening game of the season and scoring in a 2–1 win over Bologna. After suffering a calf injury during the latter match, he marked his return from injury by setting up a goal in a 2–0 win over Hellas Verona on 27 September 2015. He then scored in a 3–2 win over Saint-Étienne the UEFA Europa League. After recovering from a hamstring injury, Lucas Biglia scored again on 28 October 2015 in a 2–1 loss against Atalanta. Despite being sidelined due to suspension and injury, it was not until on 6 March 2016 when he scored his fifth goal of the season, in a 1–1 draw against Torino. However, Biglia was sent-off on 8 May 2016 after a second bookable offence in a 3–1 win over Carpi.
Ahead of the 2016–17 season, Biglia’s future at the club became uncertain after there were no contract offers and would discussed his future following the end of the Copa América Centenario. Eventually, he stayed at the club throughout the summer and continued to remain in the first team, despite suffering from injuries. After returning to the first team, Biglia scored his second goal of the season in a 3–1 win over Genoa on 20 November 2016, then scored one month later in a 3–1 win over Fiorentina. In January 2017, Biglia began negotiations over a new contract with the club. However, his future was in doubt after he rejected a new contract, prompting interests from La Liga clubs, including Atlético Madrid. Amid to the transfer speculation, Lucas Biglia scored two more goals, against Internazionale and Milan. In a match against Bologna on 5 March 2017, Biglia suffered an injury and was substituted as a result, in a 2–0 win. Although the injury turned out to be less threatening, he suffered a tore in the abductor muscle that ruled him out for one match. Lucas Biglia scored on his return from injury in a 2–2 draw against Genoa on 15 April 2017. In a 7–3 win over Sampdoria on 7 May 2017, Lucas Biglia set-up two of the goals to help the club qualify for Europe next season. In total, Biglia made 34 appearances and scored 5 goals in all competitions in the 2016–17 season.