Cole sparkled on his debut for Lille, setting up the third goal in a 3-1 win for the French champions at St Etienne.
Former England international Cole joined Lille on a season-long loan deal from Liverpool at the end of last month's transfer window and came on as a 65th-minute substitute with the score at 1-1.
Belgian star Eden Hazard put the visitors ahead with his second goal before Cole's fine run and pass set up Ludovic Obranik for the third.
Cole said: "I've been happy to be here from the moment I stepped on the training ground. Hazard is a very, very special player and I look forward to forming a great partnership."