In July, it was announced that Felipe Anderson would not be wearing the number 7 shirt that he had worn in his previous season with Lazio, but that he would instead be awarded the number 10 shirt. On 8 August, Felipe Anderson appeared in Lazio's 2–0 defeat to Juventus in the 2015 Supercoppa Italiana. On 23 September 2015, Felipe Anderson scored his first goal of the season in a 2–0 victory against Genoa. After scoring the second goal in a 3–1 Europa League win against Rosenborg on 22 October 2015, Felipe Anderson scored twice in a 3–0 win against Torino three days later. In February 2016, Lazio publicly denied rumours that Manchester United had agreed a transfer for Felipe Anderson. Felipe Anderson finished Lazio's season with nine goals in all competitions, coming runner-up to Antonio Candreva in Lazio's scoring charts for the season.