Furio was one of two members of the DiMeo crim family born in Italy (the other being Feech LaManna). Tony bargained with Italian mob boss Annalisa Zucca for Furio to come to New Jersey to work for him as part of an international car-theft operation. This impulse to integrate Furio into his association emerged once he saw Furio beat a young boy for playing with firecrackers and consequently imitating the sound of gun shots. Tony Soprano saw that Furio had absolutely no inhibitions and a merciless wrath embedded by a sincere loyalty to his boss (Furio shields his boss with his own body when the firecrackers are first heard). In order to get Furio a visa, Tony got him a no-show job as a mozzarella maker in La Vesuvio Restaurant. Upon his arrival in New Jersey, Furio became one of Tony's most feared enforcers, intimidating and beating up multiple people who owed Tony money as well as acting as Tony's driver and bodyguard, to the initial resentment of long time senior Soprano associate Salvatore "Big Pussy" Bonpensiero.
Furio's first assignment was to extract payment from a massage parlour owner whose wife had convinced him to withhold payment. In an earlier visit Chris had acted in an intimidating manner and shoved a paintbrush dipped in paint into his nostril. Furio was a little less restrained - he fearlessly smashed up the place, and showed no hesitation in hitting the girls or the owner's wife. He then broke the owner's arm in a submission hold with a bat and subsequently shot him in the knee cap - all of which made a positive impression on Tony. He was also one of the few people to know that Richie Aprile died - Tony tasked him and Christopher for assistance with dismembering his body at Satriale's, the butchers. Furio made collections from low-level associates Matthew Bevilacqua and Sean Gismonte and was not above taking a cut of his own. Furio was later tasked with reclaiming Tony's assumed debt from conman Jean Pierre Colbert.
Furio eventually began to fall in love with Tony's wife, Carmela, who also saw him as a dashing, sensitive man — Tony's polar opposite — but the two never truly became romantically entwined. Carmela tried to deflect her attraction by arranging dates for Furio. For a time, however, there was significant tension between them. Carmela found excuses to visit Furio including assisting him in buying and decorating a house and planning a house-warming, but made sure she was never alone with him. At the house-warming they shared a sexually charged dance. For his part Furio rang Carmela on the pretense of having lost his sunglasses.
When Furio's father died he returned to Italy for the funeral. He sought the advice of his uncle, telling him that Italy no longer felt like home and that he was in love with his boss's wife, feeling that they could truly communicate. His uncle made it clear he had to move on or kill his boss. Upon his return Furio withdrew from Carmela, presenting gifts to her children but not her. In the season 4 penultimate episode Eloise, Furio's witnessing Tony's infidelity first hand on a night out at a casino made him angry enough to grab his boss near the rotor blades of a helicopter that had been arranged to take them home. Furio told Tony he had grabbed him because he was standing too close, Tony was so drunk he only seemed slightly fazed and didn't seem to recall the incident the following day. Faced with the possibility of being killed by a vengeful Tony — and with ongoing thoughts of killing Tony himself — Furio packed up, moved back to Italy and disappeared. Carmela was devastated and eventually revealed her feelings for him in an argument with Tony, to which Tony replies "If certain men see him, he's a dead man". In Season 5, it is said that Tony has men looking for him in Italy, however it is never stated whether Furio was found. Furio's fate ultimately remains unknown.
Sopranos creator David Chase had claimed before the series finale that the character of Furio will not be returning to the show. He never did. This makes him one of the rare characters that have been written out of the series without being killed.