The sea lamprey is an important model organism for investigating the evolutionary origins of vertebrates. As more vertebrate genome sequences are obtained, evolutionary developmental biologists are becoming increasingly able to identify putative gene regulatory elements across the breadth of the vertebrate taxa. The identification of these regions makes it possible to address how changes at the genomic level have led to changes in developmental gene regulatory networks and ultimately to the evolution of morphological diversity. Comparative genomics approaches using sea lamprey have already predicted a number of such regulatory elements in the lamprey genome. Functional characterisation of these sequences and other similar elements requires efficient reporter assays in lamprey. In this report, we describe the development of a transient transgenesis method for lamprey embryos. Focusing on conserved non-coding elements (CNEs), we use this method to investigate their functional conservation across the vertebrate subphylum. We find instances of both functional conservation and lineage-specific functional evolution of CNEs across vertebrates, emphasising the utility of functionally testing homologous CNEs in their host species.