Messi had been forced to delay his debut in the tournament after a slow recovery from a lower back injury, with Argentina coach Gerardo Martino surprisingly naming him amongst the substitutes once more.
But Messi wasted no time in stamping his genius on the tournament after coming on in the 61st minute to replace Augusto Fernandez with Argentina leading the Group D game 1-0.
An electrifying cameo from the Barcelona superstar began with his first goal of the tournament on 68 minutes, finishing with aplomb after Gonzalo Higuain's shot bounced off a Panamanian defender into his path.
But there was no question of luck with his second, with Messi curling a wonderful free-kick into the top corner to bring the Soldier Field crowd to its feet in the 78th minute.
With Panama's heads down, Messi then duly completed his quick-fire hat-trick -- skipping clear of a marker inside the penalty area to finish emphatically for 4-0.
There was still time for Messi to have a hand in Argentina's fifth goal of the evening, providing a sublime pass in the build-up to Sergio Aguero's close range headed effort in the 90th minute.
Aguero's Manchester City team-mate Nicolas Otamendi had opened the scoring for Argentina in the seventh minute, heading home an Angel Di Maria free-kick from close range.
Di Maria injury
The victory sees Argentina, convincing 2-1 winners over Chile in their opening game, guaranteed a spot in the last eight with one group game remaining.
The only blemish on the evening was an injury to Angel Di Maria, who limped off in the first half to extend his miserable record of injuries in major tournaments.
The Paris Saint-Germain winger was injured in the 2014 World Cup, missing the final, and was also injured during last year's Copa America in Chile. Argentina are now firmly on course to top Group D, with only one game against pointless Bolivia to come.
Friday's win marked a dazzling return to the spotlight for Messi, who is determined to help lead Argentina to their first major international tournament victory for 23 years.
Messi, a veteran of Argentina's agonizing defeats in the 2014 World Cup final and 2015 Copa America final, had arrived in the United States nursing a back injury sustained during a friendly victory against Honduras last month.
He was late joining up with the squad after returning to Spain to give evidence in his tax fraud trial.
On Thursday he had faced a fresh round of criticism from Argentina great Diego Maradona, who accused Messi of lacking "the personality to be a leader" during remarks to journalists in Paris on the eve of Euro 2016.
But 24 hours later, Messi crafted the best possible response on the pitch at Chicago, lighting up the tournament with a hat-trick performance that firmly establishes Argentina as the team to beat.