Lamb's 3-pointer with 3:19 remaining put the Wildcats ahead for good at 64-63 as Kentucky (25-1, 11-0 SEC) scored the game's final eight points to remain unbeaten in conference play.
The Commodores (17-8, 6-4) got 15 points from John Jenkins while losing for the third time in four games.
Brad Tinsley, Festus Ezeli and Jeffery Taylor each added 13 for Vanderbilt.
Beyonce flaunts bikini body, Blue Ivy in vacation pics
Benedict Cumberbatch's dramatic reading of R. Kelly lyrics is just what you need