Locatelli played over 200 matches in Serie A. After being a member of the club's youth side, he started his professional career at native club Atalanta in 1993 and made his Serie A debut against Udinese, on 2 April 1994. He moved to A.C. Milan in 1995, spending two seasons with the club making 10 league appearances, also winning the 1995–96 Serie A title. During his time with the club, he made his European debut in the 1996–97 UEFA Champions League, also scoring a goal in a 4–2 home win over Göteborg on 30 October 1996. In 1997, he moved to Udinese, and in 2000 he moved to Bologna, where he remained for five seasons. He signed with A.C. Siena after Bologna were relegated to Serie B in 2005.