After beginning his professional career with Jesi in 1986, for one season in the lower divisions, and subsequently Brescia for a season, in Serie B, Marchegiani spent the majority of his career at Torino F.C. and S.S. Lazio. With Torino (1988–1993), he won the Coppa Italia in 1993, and a Serie B title and a Mitropa Cup in 1991, earning promotion to Serie A; he also finished runner-up in the 1993 Supercoppa Italiana and the 1991–92 UEFA Cup, and managed a third-place finish in Serie A during the 1991–92 season, whilst playing for the club.