We study the non-equilibrium dynamics of an impurity in a harmonic trap that is kicked with a well-defined quasi-momentum, and interacts with a bath of free fermions or interacting bosons in a one-dimensional lattice configuration. Using numerical and analytical techniques we investigate the full dynamics beyond linear response, which allows us to quantitatively characterize states of the impurity in the bath for different parameter regimes. These vary from a tightly bound molecular state in a strongly interacting limit to a polaron (dressed impurity) and a free particle for weak interactions, with composite behaviour in the intermediate regime. These dynamics and different parameter regimes should be readily realizable in systems of cold atoms in optical lattices.