Diao was born in Kédougou, Tambacounda Region. He began his career in his native country before moving to France at the age of seventeen. He begin his professional career playing for Monaco in 1996 but did not feature for the club at all in the 1996–1997 season and was loaned out the Ligue 2 side SAS Épinal where he played 2 matches for the club. He returned to Monaco for the 1997–98 season where he 12 times in his second season at the club. he was also part of the AS Monaco side that won Division 1 in the 1999–2000 season. He also won a runner-up medal in the 2002 African Cup of Nations, where Senegal lost in extra time to Cameroon.