The game at the Letzigrund in Zurich was played against the backdrop of a match-fixing scandal back home that prompted Italy coach Cesare Prandelli to say he would not mind his side pulling out of the European Championship if it was the right move.
Friday's performance was a defensive nightmare for Italy, who conceded only twice in 10 games during qualifying, with Russia's second and third goals coming from defensive mix-ups involving substitute goalkeeper Morgan De Sanctis.
It was Italy's third successive match without scoring following 1-0 defeats by Uruguay in November and the United States in February and their heaviest loss since Prandelli took charge following the 2010 World Cup.
"I have to do tests, we didn't have time for lots of preparations, there is not much time," said Prandelli.
"The first half was open, both teams could have scored and the first 10 minutes of the second half were also very good but when the goal came we lost all our energy. I'm not sure if it was physical or psychological."
"This is something I have to find out, to help rebuild the confidence. Perhaps it's good to suffer a bad game now as it means we have our feet back firmly on the ground and know how much we have to work.
"We have to regain our strength and fight for every ball, as in the qualification," he added.
Italy's match-fixing scandal led Prandelli to drop left-back Domenico Criscito from his squad after police said the player was formally under investigation.
Jeered off the pitch by the mainly Italian crowd, Italy's nightmare began just after Antonio Cassano failed to turn Balotelli's cross into the net.
Russia broke down the other end and Kerzhakov, allowed too much space, fired the opening goal past De Sanctis, who had replaced Gianluigi Buffon at half-time, from Shirokov's pass just before the hour mark.
