One man died and the other was taken to hospital after they set themselves on fire yesterday outside the Jokhang Temple, the official Xinhua News Agency reported.
The report quoted a local Communist Party official as blaming separatist forces, an accusation it often makes against Tibetan exiles who support the Dalai Lama.
The two men were taken away by authorities within two minutes of setting themselves on fire.
Protests have become rare in remote Tibet and Lhasa in particular because of tight police security that has blanketed the area since anti-government riots erupted in Lhasa in 2008.
There have been at least 34 immolations since March of last year to draw attention to China's restrictions on Buddhism and to call for the return from exile of the Tibetan spiritual leader, the Dalai Lama.
Most have taken place in heavily Tibetan areas of China, but only one had occurred in Tibet itself and none in the capital.
Chinese authorities have confirmed some of the self-immolations over the past year but not all.
The twin immolations in the heart of the Tibetan capital are certain to embarrass the region's communist leadership, who have pledged to prioritise social stability and ethnic unity.
That mandate is especially pressing this year as China prepares for a once-a-decade leadership transition in the autumn and does not want the occasion undermined.
The immolations are also likely to prompt tough, new restrictions on Tibetan social gatherings and religious activities in Lhasa, as they have elsewhere.
Radio Free Asia reported today that Lhasa was under heavy police and paramilitary guard following the immolations and that the situation was very tense.
The self-immolations occurred in the open-air Barkhor market near the temple in the centre of Lhasa, an area popular with Tibetans and tourists alike.
Chinese Foreign Ministry spokesman Liu Weimin said today that "inciting such deaths will win no hearts. The political motive behind (the immolations) will never be successful."
Beijing has called the protesters' actions a form of terrorism. The Dalai Lama has blamed China's harsh repression on Tibetan spiritual life and empathised with the protesters.
Xinhua said the immolations were handled quickly and order was restored.
"They were a continuation of the self-immolations in other Tibetan areas and these acts were all aimed at separating Tibet from China," Hao Peng, secretary of the Commission for Political and Legal Affairs of the CPC Tibet Committee said.
Xinhua identified the man who died as Tobgye Tseten from Xiahe county in Gansu province and the other man as Dargye, from Aba county in Sichuan province.
Most of the recent immolations have been in Aba, home to Kirti monastery, where numerous protests have occurred for several years. Xiahe is home to the large and influential Labrang monastery and the Tibetan community there has had sporadic clashes with authorities.
Xinhua reported Dargye was in stable condition and able to speak.
US-funded radio broadcaster Voice of America said the two men worked at a Lhasa restaurant called Nyima Ling. It identified one of the men as 19-year-old Dorjee Tseten but was unable to give the name or age of the other.
"This was the first time it has happened in Lhasa - and right in the middle of Lhasa," said Tenzin Tsundue, a Tibetan poet and one of the most prominent activists living in India.
He said it reflects that anger against Chinese rule is not limited to areas where most of the immolations have occurred - the mostly ethnically Tibetan areas outside the legal boundaries of Tibet.
"All over Tibet it's the same emotion, it's the same response" to Beijing's policies, he said.
"We are always in fear of the next self-immolation, and whenever it happens we say prayers. And every time it happens we hope the world is listening."
China says Tibet has always been part of its territory, but many Tibetans say the Himalayan region was virtually independent for centuries until Chinese troops invaded in the 1950s.
Beijing blames the Dalai Lama for fanning anti-government sentiment and routinely purges monasteries and nunneries, where support for the Dalai Lama and Tibetan independence runs high.