Two-time Olympic gold medallist Lomachenko sent Puerto Rico's Martinez sprawling on his back with a devastating left uppercut-right hook combination to win by knockout at 1:09 of the fifth round.
He improved to 6-1 with 3 knockouts -- and became the fastest fighter to gain world titles in two weight divisions.
Japan's Naoya Inoue, a reigning super flyweight title holder, won a belt in a second division in his eighth pro fight.
"I need more fights. It's not enough fights for me. I need fights to get better," he said, adding that he wanted to take on the best of the 130-pound ranks.
"The reason I like Olympic boxing is that all the best fighters come together and find out who the best fighter is," he said. "I want to do the same in professional boxing. I want to line up all the best fighters in the 130 division and see who the best fighter is."
The only blemish on his pro record was a loss to Mexico's Orlando Salido in Lomachenko's second professional fight -- when the vacant WBO featherweight title on the line.
Salido was ringside at the Theater at Madison Square Garden on Saturday, and Lomachenko said he was game for a rematch.
"Let's do it," he said.
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