Ambrosini began his career with Cesena and graduated to their first team at the age of 17 during the 1994–95 season. AC Milan coach Fabio Capello then won the race to sign him the following year, and despite facing tough competition to break into the all-star Milan side, Ambrosini was given a handful of games as the team romped to the Serie A championship. Used in the 1996–97 season only sporadically, Ambrosini was sent on loan to Vicenza, where he was given a spot in the team's starting line-up almost immediately, and helped his team avoid relegation at the end of the season. He also reached the semi-final of UEFA Cup Winners' Cup with Vicenza. Recalled to the San Siro, Ambrosini at last made a first-team place his own as Milan won back the Serie A championship in 1999. A regular the following term, he then saw his chances limited by a troublesome knee injury before returning to full fitness to help Milan win the Coppa Italia (scoring in a 4–1 win in the first leg of the final over Roma) and the UEFA Champions League during the 2002–03 season, where he replaced Rui Costa in the 87th minute of the final against Juventus, held at Old Trafford.