The 33-year-old striker signed a two-year deal for a reported fee of nearly £3m and netted goals in a 4-0 victory over his former club Bristol Rovers.
"Rickie is a good, strong, solid player who is a great character, good in the dressing room and good on the pitch," said West Brom head coach Tony Pulis.
"We are very pleased to have him on board."
Lambert becomes the club's third summer signing, following the acquisitions of James Chester and James McClean.
Craig Gardner and Victor Anichebe also scored for the Baggies at the Memorial Stadium in their most emphatic win of pre-season.
West Brom are the eighth club the Kirkby-born Lambert has played for, having started his career at Blackpool.
He came to prominence at Southampton where he scored 117 times in 235 appearances, after signing from Bristol Rovers in 2009.
Lambert then realised a lifetime dream last summer by joining the club he supported, Liverpool, in a £4m deal. However, he failed to rediscover his Saints scoring form at Anfield, managing only two league goals in 25 games for the Reds last season.
Rickie Lambert joined West Brom from Liverpool - and scored twice on his debut for the club three hours later.