Dio published a Roman History (Ῥωμαϊκὴ Ἱστορία, Historia Romana), in 80 books, after twenty-two years of research and labour. The books cover Roman history for a period of approximately 1,400 years, beginning with the arrival of the legendary Aeneas in Italy (c. 1200 BC), through to the subsequent mythistoric founding of Rome (753 BC); they also cover historical events up to AD 229. The work is one of only three written Roman sources that document the British revolt of AD 60–61 led by Boudica. Until the first century BC, Dio provides only a summary of events; after that period, his accounts become more detailed. From the time of Commodus (ruled AD 180–192), Dio is very circumspect in his conveyance of the events that he witnessed.
In the 21st century, fragments remain of the first 36 books, including considerable portions of both Book 35 (on the war of Lucullus against Mithridates VI of Pontus) and 36 (on the war with the pirates and the expedition of Pompey against the king of Pontus). The books that follow, Books 37 through 54, are nearly all complete; they cover the period from 65 BC to 12 BC, or from the eastern campaign of Pompey and the death of Mithridates to the death of Marcus Vipsanius Agrippa. Book 55 contains a considerable gap, while Books 56 through 60 (which cover the period from AD 9 through 54) are complete and contain events from the defeat of Varus in Germany to the death of Claudius. Of the 20 subsequent books in the series, there remain only fragments and the meager abridgement of John Xiphilinus, a monk from the 11th century. The abridgment of Xiphilinus, as now extant, commences with Book 35 and continues to the end of Book 80: it is a very indifferent performance and was made by order of the emperor Michael VII Parapinaces. The last book covers the period from 222 to 229 (the reign of Alexander Severus).
The fragments of the first 36 books, as they have been collected, consist of four kinds:
- Fragmenta Valesiana: fragments that were dispersed throughout various writers, scholiasts, grammarians, and lexicographers, and were collected by Henri Valois.
- Fragmenta Peiresciana: large extracts, found in the section entitled, "Of Virtues and Vices", contained in the collection, or portative library, compiled by order of Constantine VII Porphyrogenitus. The manuscript of this belonged to Nicolas-Claude Fabri de Peiresc.
- The fragments of the first 34 books, preserved in the second section of the same work by Constantine, entitled “Of Embassies.” These are known under the name of Fragmenta Ursiniana, as the manuscript in which they are contained was found in Sicily by Fulvio Orsini.
- Excerpta Vaticana by Angelo Mai: Contains fragments of books 1 to 35 and 61 to 80. Additionally, fragments of an unknown continuator of Dio (Anonymus post Dionem), generally identified with the 6th-century historian, Peter the Patrician, are included; these date from the time of Constantine. Other fragments from Dio that are primarily associated with the first 34 books were found by Mai in two Vatican MSS.; these contain a collection that was compiled by Maximus Planudes. The annals of Joannes Zonaras also contain numerous extracts from Dio.