Tottenham went ahead through Sanchez who scored his first goal for the London club by meeting Eriksen's whipped cross with a diving header in the 33rd minute, although Leicester's players complained he was in an offside position.
Instead, moments after the missed penalty, Spurs doubled their lead through Christian Eriksen's wonderful strike and subsequently weathered Leicester's fightback, although the visitors did claw one back through Vardy.
Leicester, who have beaten City at home and Chelsea away, while also taking points off Liverpool, impressed in the opening half an hour and with January signing Youri Tielemans showing some good touches on his debut.
Three minutes later, Spurs had their second.
Harvey Barnes produced another tame finish when sent through on goal by Vardy, before Pereira made amends for his earlier error by sending in a low cross that Vardy flicked past Lloris.
In time added on, Hueng Min-Son ended the contest as he pounced on long ball from Moussa Sissoko before racing from the halfway line to beat Schmeichel. "They all need to make progress and we will be passionate with these players".
"What happens happens at the end of the season, they are going to be remembered".
Mauricio Pochettino has gone with a back four with Davinson Sanchez starting alongside Jan Vertonghen meaning Toby Alderweireld is given a rest.
Maddison has been excellent for Leicester this season, but he was outshone by Eriksen, the man he has been tipped to replace at Spurs. In some days it's hard to deal with Wembley but hopefully in this big game we'll receive this help from the crowd'.
- Tottenham against Leicester has now joined the Sheffield derby as the most played top-flight fixture without ever recording a goalless draw (84 meetings).
Paul Merson is backing Tottenham Hotspur to keep up the pressure on the Premier League's top two with a 2-1 victory over Leicester Cityat Wembley on Sunday afternoon.
"Sometimes you can win games not playing your best".
They will then return to Premier League action with a trip to Burnley on 23 February.