Wolves had gone in front after 13 minutes when Youri Tielemens was caught in possession inside his own half, allowing Matheus Cunha to drive forward and finish from the edge of the box.
The goal shook Leicester, who had started brightly, but they were offered a way back into the game when Jamie Vardy went around Jose Sa and was brought down by the Wolves goalkeeper.
Kelechi Iheanacho coolly dispatched the penalty and Leicester regained the upper hand before half-time.