The Frenchman nodded in Granit Xhaka’s cross seven minutes later to make it 2-1 before half-time.
And Aubameyang’s late volley ensured Arsenal take a two-goal lead to Spain.
Lacazette should have scored a hat-trick – he fluffed a header from six yards out in the second half and was later denied by goalkeeper Neto on two occasions.
But Arsenal will travel to Valencia for the second leg next Thursday with a two-goal lead, hoping to avoid a second successive semi-final defeat after they were knocked out by eventual winners Atletico Madrid last year.
