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, 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.