Opener Lumb, earning his maiden 50-over cap after 20 previous appearances in the Twenty20 format, struck 106 from 117 deliveries in Antigua, becoming only the ninth player and second Englishman to mark his ODI debut with a century.
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When the left-hander departed to leave the score reading 3-180 after 37 overs, England appeared firmly on course to overhaul a Windies total of 6-269 that had been significantly boosted by late fireworks from captain Dwayne Bravo (87 not out) and Darren Sammy (61).
However, the tourists then gave up the initiative in dismal fashion, finishing on 6-254 after struggling badly against the spin of Sunil Narine (2-36 off 10 overs).
Defeat provides further misery for an England side still reeling from a torrid tour of Australia and the subsequent Kevin Pietersen saga, which continued on Friday when the exiled batsman taunted former team-mate Matt Prior via Twitter.
Both innings followed a similar theme, with West Indies on the back foot for a prolonged period before finishing with a flourish.
Bravo shared 108 with the patient Lendl Simmons (65) to steady the hosts after they had been inserted and stumbled to 45-4 inside the first 16 overs.
However, it was a sixth-wicket stand of 116 between Bravo and Sammy, spanning just 61 deliveries, which would ultimately prove decisive.
The powerful duo collected 85 from the last five overs alone as England lost their way, Sammy hammering four sixes and five fours in a blistering 36-ball knock that was only ended by the final ball of the innings.
Lumb and fellow debutant Moeen Ali put on 96 for the first wicket in reply and victory appeared a formality for Stuart Broad's side when the former moved to three figures with an off-side single in the 35th over.
In reaching his debut hundred for England, the fluent Lumb emulated a feat achieved in 1972 by Dennis Amiss - in only the second game played in the format.
Yet the 34-year-old was caught at cover off Ravi Rampaul (1-53) soon after and Narine then took centre stage, dismissing Ben Stokes (5) and Joe Root (37) while keeping things tight to send the required run-rate skywards.
Ravi Bopara (23 not out) and Tim Bresnan (14 not out) were left with too much to do following Jos Buttler's departure, and the Windies ultimately prevailed with a degree of comfort.
The two teams meet again at the Sir Vivian Richards Stadium on Sunday, with the third ODI - also at the same venue - taking place on March 5.