Dries Mertens opened the scoring for the Red Devils before striker Lukaku took his international tally to 36 in 69 matches with a volley and header either side of halftime.
Substitute Michy Batshuayi completed the Belgium scoring in the 64th thanks to a pass from Lukaku.
Eden Hazard tormented Costa Rica with his instant control and darting runs while fellow midfielder Kevin De Bruyne cut through the defense with his trademark incisive passing.
Hazard limped off in the 70th after a couple of tough challenges, but did not appear too badly hurt.
Costa Rica, one of the surprise packages of the last World Cup where it reached the quarterfinals, took a surprise lead at King Baudouin Stadium through a Bryan Ruiz volley, but was outclassed for much of the match.