He signed for Lazio in 1985 and remained there until 1990. Lazio won promotion to Serie A in 1988, having narrowly escaped relegation to Serie C1 the year before. He finally made his first-team debut in October 1988 and went on to play 30 games during the 1988–89 season. Di Canio scored the winner in the first Rome derby of the season, a goal which contributed to Lazio's survival in Serie A that season and earning him hero status. In 1990, he was sold to another of Italy's biggest clubs, Juventus; although he won the UEFA Cup with the Turin side in 1993, he struggled to gain playing time during his tenure with the club, due to the presence of other forwards and creative midfielders in the team, such as Roberto Baggio, Salvatore Schillaci, Pierluigi Casiraghi, Fabrizio Ravanelli, Gianluca Vialli, and Andreas Möller. He left Juventus after an "animated exchange" with then manager Giovanni Trapattoni and spent the 1993–94 season with Napoli. Two seasons followed at A.C. Milan, where, despite winning the Serie A title in 1996, he once again struggled to gain playing time due to heavy competition from his teammates, culminating in another row, this time with Fabio Capello.