After being a member of the Empoli youth side since 1994, Di Natale started his professional career with the Empoli senior side in 1996, and remained with the club until 2004, aside from brief loan spells with Iperzola, Varese and Viareggio. During his time with Empoli, he helped the club to achieve Serie A promotion during the 2001–02 Serie B season, scoring 16 goals. His breakthrough came during the 2002–03 Serie A season, as he scored 13 goals in the league and helped Empoli avoid relegation. Despite being unable to find the net as regularly or save Empoli from relegation the following season, his performances and consistent goalscoring earned him a transfer to Udinese in 2004.