The first-half was a predictably cautious affair, although CSKA's Brazilians, Jo and Vagner Love, caused the Dutch side some trouble with their fast off-the-ball movement and dribbling.
However, it was PSV who took the lead in the second-half, the Serb, Lazovic, running onto a through ball from former Ajax striker, Kenneth Perez, before slotting home past Mandrykin in the 59th minute. Perez had come on as a substitute in the 28th minute for the injured Ibrahim Afellay.
Yuri Zhirkov had a chance to level the score shortly after, but hit his shot wide after being put into space by a crafty back pass from the ever-alert Vagner Love.
PSV went further ahead with just ten minutes remaining on the clock, when Perez ran onto a ball from another substitute, Jan Kromkamp, to score.
However, former UEFA Cup holders rallied and Vagner Love got one back in the 89th minute, finding the net after a Zhirkov pass.
It was too little, too late, however, and despite Jo going close in the dying seconds, the Russian champions returned to Moscow pointless.
The Russian side's next Champions League fixture is in Moscow, on October 2, against the Turkish side, Fenerbahce.
In Group G's other game Wednesday, Fenerbahce beat Inter Milan, 1-0, at home.
Russia's other representatives in the Champions League are Alexander Kerzhakov, who plays for Seville in Spain, and Marat Izmailov, at Portugal's Sporting. Both teams lost to English teams in the first round of games this week, Seville suffering a 3-0 defeat in London at the hands of Arsenal, while Sporting lost 1-0 at home to Manchester Utd.
