Reading dominated the first half but had to wait until the 52nd minute to take the lead, when Jon Dadi Bodvarsson headed in a cross from Mo Barrow.
Derby levelled on the hour, when debutant Mason Mount's shot from 25 yards slipped through goalkeeper Vito Mannone's grasp.
And Tom Lawrence nodded in the winner in the fourth minute of stoppage time from a brilliant Mason Bennett cross.
'It was an interesting start. It's great for us and that's what I'm back in the game for,' Lampard said.
'It's not going to happen every week, I'm fully aware of that. But those feelings are incredible.
'It's hard to compare (winning as a player and manager) but that's right up there with what I've done in my career - in terms of the moment.
'I don't want to get carried away because I know it can't be like this every week. But that moment was fantastic. '
Lampard admitted his side were fortunate to come out of their opening game of the season with three points.
'Make no mistake, we didn't deserve to win the game,' he said.
'We're all fully aware of that and there's lots of big things for us to improve on. But that's normal.
'We're a side in a transition, with young players and we're changing the team slightly.
'But's let's not take away that feeling. You could see from the celebrations at the end how much that means to us all.
'Reading came at us early on. They were very organised and they didn't allow us to play our game. They caused us to be too slow on the ball.
'That's what we tried to say at half-time. It wasn't the end of the world but we needed to quicken up our game and show more urgency. And we did that.
'Character-wise, it was a massive plus. But there's definitely still work to do.'
Reading manager Paul Clement found it difficult to accept the last-ditch defeat.
'When you lose the game to the last kick, it's a tough one, a real tough one,' Clement said.
'Particularly when it's the first game of the season and you've put in so much work.
'I thought we did enough to win the game, never mind lose it. At that stage of the game, after 94 minutes, you've just to make sure that you don't lose it.
'Their goal was a fantastic cross from Bennett and header from Lawrence. Our error there was probably down to fatigue.
'I thought that we did well in the first half. We were probably on top.
'Our shape was good defensively and we made it difficult for Derby to do what we knew they wanted to do.
'They changed their style in the second half and went a little bit more direct and the spaces opened up as our players tired.
'It's a harsh result and it's a big lesson for us already so early in the season.
'It was the same for both teams, playing in that kind of heat and humidity - and it's only game one.
'There's no way the players can all be at their tip-top condition at this stage of the season.'