Duval appeared to have the world at his feet when he was flying high at the top of the rankings in 1999 and won the Open two years later.
The American, like 23-year-old Northern Irishman McIlroy, also agreed a switch to Nike clubs and Lyle said that was the moment which sparked a sudden decline he was never able to reverse.
"That move hurt the momentum of David's career," the 1985 Open champion and 1988 US Masters winner told Reuters in an interview. "He wasn't driving the ball well which put the pressure on his putting and that in turn put pressure on him making cuts.
"David then started on a horrible spiral of missing cuts. It could be that all stemmed from his problems with his new driver and it could be the same thing for Rory now.
"Rory's momentum was very good last year but it can be very dangerous to change clubs," added Lyle, referring to the world number one's five worldwide wins in 2012 and his money-list victories on both sides of the Atlantic.
"David never got out of his spiral. He definitely took a huge kamikaze dive and never really got it back."
Last month McIlroy put pen to paper on a 10-year contract, that according to media reports is worth around $250 million, to swap from Titleist to Nike clubs and suffered an instant setback by missing the cut at the Abu Dhabi Championship.
Co-incidentally, the 54-year-old Lyle has just signed an agreement to use Bridgestone Golf clubs and balls on the senior circuit and his game is also a work in progress as he tries to get used to his new equipment.
"It's the driver and the fairway woods that are the biggest issues," said the Scot. "Rory will adapt to the irons pretty quickly although he will have teething problems.
"It only takes a little chink in the armour in this game for it to start becoming a worry."
Lyle, who won the European order of merit three times and featured in five Ryder Cup teams, said he could remember looking on with interest when Duval's problems started.
"David used to have two Nike representatives who were basically carrying 30 or 40 different drivers out on to the practice range under their arms," he explained.
"In those days you didn't have the click-in shafts and the ability to tighten something here or alter some weight there.
"If you had a driver with a certain shaft and it didn't feel right, the rep would just be handing out different clubs all the time. I don't think Rory will go down the same road as David, he's too young and too fit and swinging the club too well.
"It might just be that he goes through a bit of a hiccup for a few months before he gets back into full flow but the Duval story is not something you should just wipe away and not pay attention to."
Lyle was one of Europe's 'big-five' in the 1980s along with fellow Britons Nick Faldo and Ian Woosnam, Spain's Seve Ballesteros and Bernhard Langer of Germany.
While arch-rival Faldo had to work like a trojan to perfect the swing that won him six majors, Lyle had a sublime natural gift for golf.
McIlroy once hit a 40-yard drive at the age of two and, like Lyle, was viewed as a special talent from his earliest years.
"Rory plays with a freedom that is nice to see," the Scot added. "He doesn't get too tight or too frustrated like someone like Sergio Garcia.
"I'm watching his progress with interest. To have already won two majors, and he should have won the Masters in 2011 as well, by his age is great to see."