Dio was the son of Cassius Apronianus, a Roman senator, and he was born and raised at Nicaea in Bithynia. Byzantine tradition maintains that Dio's mother was the daughter or sister of the Greek orator and philosopher, Dio Chrysostom; however, this relationship has been disputed. Lucius is often identified as Dio's praenomen, but a Macedonian inscription, published in 1970, reveals the abbreviation, "Cl.", presumably Claudius. Although Dio was a Roman citizen, he wrote in Greek. Dio always maintained a love for his hometown of Nicaea, calling it "his home", as opposed to his description of his villa in Italy ("my residence in Italy").
For the greater part of his life, Dio was a member of the public service. He was a senator under Commodus and governor of Smyrna following the death of Septimius Severus; he became a suffect consul in approximately the year 205. Dio was also Proconsul in Africa and Pannonia. Severus Alexander held Dio in the highest esteem and reappointed him to the position of consul, even though his caustic nature irritated the Praetorian Guards, who demanded his life. Following his second consulship, while in his later years, Dio returned to his native country, where he eventually died.
Dio was either the grandfather or great-grandfather of Cassius Dio, the Roman consul in 291.