Heat the olive oil in a large pot over medium-high heat. Add the ham, onion and 2 tablespoons dill; cook, stirring frequently, until the onion is golden, about 5 minutes. Add the celery, carrots, potatoes, 1/2 cup water and 1/4 teaspoon each salt and pepper. Cover and cook, stirring occasionally, until the vegetables are just soft, 8 to 10 minutes.
Add the chicken broth, 1 1/2 cups water and the lentils; cover and bring to a simmer. Uncover and cook until the potatoes are tender and the lentils begin to fall apart, 12 to 15 more minutes. Stir in the peas, yogurt and the remaining 1 tablespoon dill. Ladle the soup into bowls.