Hazard and Cole shine for Lille
Olympique Marseille, however, continued their miserable start to the season with a 1-0 home defeat against Stade Rennes.
The 2010 champions, who have drawn three and lost two games, lie 17th, eight points off the pace.
Jires Kembo-Ekoko netted the winner for Rennes in the 76th minute after benefiting from some shaky defending.
Earlier, Dijon midfielder Benjamin Cornet cancelled out Maxime Gonalons's opener in the first half before France international Bafetimbi Gomis headed Lyon's winner eight minutes into the second half.
Lyon, who have 11 points from five games, and lead second-placed Lille by one point.
Defender David Rozehnal deflected a Fabien Lemoine cross into his own goal after seven minutes as Lille got off to a sluggish start.
Saint-Etienne were down to 10 men in the 35th minute after defender Loris Nery was shown a straight red card for a rough tackle on Franck Beria.
Lille were rewarded for their domination 10 minutes into the second half, when Belgian midfielder Hazard slalomed through the St Etienne defence before beating Stephane Ruffier.
England international Cole, who joined on loan from Liverpool this season, replaced Dimitri Payet in the 65th minute but it was Hazard who once again tortured the hosts' defence.
Hazard rushed down the left flank in the 73rd minute and unleashed an angled shot that went under the bar to put the visitors ahead.
Cole then whizzed down the right flank, through a couple of defenders, before setting up Ludovic Obraniak for the third goal.
"I'm happy to be here from the moment I stepped on the training ground," Cole told French TV channel Foot Plus.
"Hazard is a very, very special player and I look forward to forming a great partnership."
Toulouse continued their fine start to the season when a last-gasp goal by Etienne Capoue earned them a 1-0 win at Caen that put the south-west club in third place on 10 points.