Yes, it does. It works both if your active Pokemon has it, and if your reserve has it as well.
1) You have a Mew in play holding a Lucky Egg, and a Pikachu in reserve. Your Mew gets 1000 EXP (rather than say 500 EXP without the egg) and your Pikachu will get 500 EXP.
2) You have a mew in play it gets 500 EXP. Your Pikachu holding the Lucky Egg will get 500 EXP
It'll also work if you have multiple Lucky Eggs.