At one point in his career, Marchegiani was the most expensive goalkeeper in the world, when he joined Lazio from Torino in 1993 for £6m; during this period he was regarded as one of the best and most reliable goalkeepers in Italy and in world football. During his time with Lazio he won the Serie A, two Italian Cups, two Italian Supercups, an UEFA Cup Winners' Cup, and an UEFA Super Cup, also reaching another UEFA Cup Final in 1998. In 2003, he moved to and ended his playing career at Chievo Verona, where he remained until retiring in 2005.