Matheus Nunes scored a 31st-minute screamer at Molineux, the Portugal midfielder hitting the ball on the volley from the edge of the box on the right and past Kepa Arrizabalaga into the far corner.
Chelsea great Lampard's appointment was announced on Thursday after Graham Potter paid the price for a string of poor results which left the team 11th and with a Champions League quarterfinal away leg at Real Madrid looming next Wednesday.
The club's record goalscorer, himself dismissed as a manager in January 2021, was given a clear picture of his task over the eight remaining games, with Chelsea on 29 goals from 30 matches.
Chelsea had only one shot on target in the first half and, while looking much livelier after the break, could not make their passing and possession count.
Julen Lopetegui's Wolves moved up to 12th and four points clear of the drop zone.