After being forced to settle for a hard-earned tie at Warwickshire on Friday, they lost by one run to their Roses rivals at Headingley, unable to chase a target of 312 as they were dismissed for 310 from the final ball.
Defeat denied them the chance to go top of the North Group, leaving them in third place after three of their eight group games.
They remain well-placed to qualify for the knockout stages, though, their 50-over campaign continuing on Friday against Derbyshire at Headingley.
In an exciting advert for the Royal London Cup, a tournament being downgraded next year by the England and Wales Cricket Board as it clashes with The Hundred, Steven Croft top-scored with 97 in Lancashire’s 311-6, Rob Jones chipping in with 65 and Josh Bohannon an unbeaten 55.
Tim Bresnan, whose 89 had done so much to help Yorkshire salvage a tie at Edgbaston two days earlier, conceded 41 from his last two overs, the 48th and 50th of the innings, all of those runs coming off the bat of Bohannon.
Tom Kohler-Cadmore hit 97 in Yorkshire’s reply, Gary Ballance 72 and Jonny Tattersall 49, but the hosts came up short.
Andrew Gale, Yorkshire’s first-team coach, said: “I thought the first half of the game, up to the last three overs (of the Lancashire innings), we were outstanding. We did some really good stuff.
“But you have to give Lancashire credit. I thought the Croft and Jones partnership, they played really well, but 40-odd runs off Tim Bresnan’s last two overs, we didn’t get that right.
“But we were still confident at half-time that we had enough in the tent to knock them off.
“We then made some poor decisions under pressure with the bat.
“We got off to a good start in the first six overs, but we just made some poor decisions.
“It was a cracking game. To go right down to the last ball, it was a fantastic spectacle.
“The last two games have gone down to the last ball and, unfortunately, we haven’t got over the line in either.”
Croft, who fell three runs short of his second successive hundred in the tournament, after scoring 110 in Lancashire’s previous match at Nottinghamshire, said: “It was a great advert for the competition and it was great to get our first win.
“There’s nothing sweeter than winning a really tight game, especially at Headingley.
“It was a big game for us and gets us going. We didn’t want to go three losses from three, and although we’d have liked a couple more points on the board, hopefully we will build on this.
“I’ve felt really good (with the bat) and just wanted to take my opportunity. Hopefully I’ll continue to score more and contribute to more wins.”
Not since May 2008 had Lancashire beaten Yorkshire in a one-day game, winning by three wickets at Old Trafford in the old Friends Provident Trophy.
Later that year the teams shared a no-result at Headingley, and did not meet again in List A cricket until 2014, since when Yorkshire had won four games on the spin.
The equation yesterday boiled down to 16 runs needed from the final over, followed by three runs off the final ball.
But it proved just too much for Yorkshire, who are attempting to win their first one-day trophy for 17 years.