After Empoli were relegated, Di Natale joined Udinese for the 2004–05 Serie A season, along with Manuel Belleri and Emílson Cribari. In Udine, he partnered with Vincenzo Iaquinta and David Di Michele in attack, and the Friulian club finished fourth place at the end of the season and qualified for the UEFA Champions League for the following year. In his debut season with Udinese, Di Natale played 33 league games and scored 7 league goals.