The hosts grabbed the lead on 31 minutes after a mistake by Italy keeper Salvatore Sirigu, who pushed a tame free kick into the path of Sergei Zenjov for an easy tap in.
Italy leveled the score on the hour mark through a header from forward Antonio Cassano.
Cassano turned from scorer to provider three minutes later to set up Leonardo Bonucci for Italy's winner.
The former world champions, who could not go beyond the first round at this year's World Cup, ended a seven-match winless streak.
Prandelli replaced Marcello Lippi, who guided Italy to the 2006 World Cup triumph, following the Azzurri's dismal performances at the South Africa finals in June.
In Group I, world and European champions Spain crushed minnows Liechtenstein 4-0.
Liverpool striker Fernando Torres, who struggled for form and failed to score at the World Cup, scored twice.
David Villa notched home to score his 44th goal with Spain and equal Raul's all-time scoring record.
Manchester City midfielder David Silva was also on the scoresheet to give Spain an easy win.
France, who were eliminated from the World Cup group stage, failed to put that disappointment behind them after slumping to an embarrassing 1-0 home defeat by Belarus in Group D.
Substitute Sergei Kislyak netted the winner four minutes from time.
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