The Saints striker, who has scored three goals in his last two games at club level, played the first hour of the friendly encounter at Stadio Friuli, in Udine, before being substituted for Simone Zaza, with the score at 0-0.
Pellè went close to meeting an Antonio Candreva cross in the early stages, and he linked up well with the Lazio midfielder on numerous occasions.
Shortly after the Southampton forward departed, Italy took the lead, as Lorenzo Insigne flicked a shot past David de Gea in the 67th minute.
The hosts' lead lasted a mere three minutes, though, as Aritz Aduriz pounced on a Gianluigi Buffon error to fire home from close range.
Next up for Italy, as they continue their build-up to UEFA EURO 2016, is a trip to face Germany, at the Allianz Arena, in Munich, on Tuesday.