Nesta was first discovered by Francesco Rocca, a scout for Roma, but his father, a Lazio fan, turned down the offer.
He began his youth career with Lazio in 1985, playing in various roles, including as a striker and midfielder, before being placed in the role of a defender.
In the 1993–94 season he was called up to the first team, and on 13 March 1994 he made his debut in a 2–2 away draw against Udinese; Nesta came on for Pierluigi Casiraghi during the 78th minute.

He assumed the team captaincy in 1997 under Sven-Göran Eriksson, and helped Lazio win the 1998 Coppa Italia against Milan in the final, in which he scored the winning goal.
He would also make the UEFA Cup Final that season, losing out to Internazionale.
Nesta was awarded the Serie A Young Footballer of the Year Award at the 1998 Italian footballing awards for his performance throughout the season.

The following year he was forced to stay out for nearly half the season due to ligament injuries suffered during the 1998 FIFA World Cup.
He returned to the field in December, and, as captain, led Lazio in the title race, lost by a single point on the final day of the season.
He did, however, win the first two trophies at the international level of his team: the UEFA Cup Winners' Cup, won against Mallorca, and, in August, the European Super Cup over Manchester United.

In the 1999–2000 season he led Lazio to the Scudetto and Coppa Italia, winning the double.
During the 2000–01 season, under Dino Zoff, Lazio won the Supercoppa Italiana and finished third in Serie A. Nesta's performances and success for Lazio during this period earned him three consecutive Serie A Defender of the Year awards between 2000 and 2002.
Financial problems for Lazio and its then-president Sergio Cragnotti led to the sale of Nesta to Milan in 2002.
Nesta left the club with a backlog salary of €2 million, half of which were converted into shares of the Biancocelesti club.
Nesta was first discovered by Francesco Rocca, a scout for Roma, but his father, a Lazio fan, turned down the offer. He began his youth career with Lazio in 1985, playing in various roles, including as a striker and midfielder, before being placed in the role of a defender. In the 1993–94 season he was called up to the first team, and on 13 March 1994 he made his debut in a 2–2 away draw against Udinese; Nesta came on for Pierluigi Casiraghi during the 78th minute.
He assumed the team captaincy in 1997 under Sven-Göran Eriksson, and helped Lazio win the 1998 Coppa Italia against Milan in the final, in which he scored the winning goal. He would also make the UEFA Cup Final that season, losing out to Internazionale. Nesta was awarded the Serie A Young Footballer of the Year Award at the 1998 Italian footballing awards for his performance throughout the season.
The following year he was forced to stay out for nearly half the season due to ligament injuries suffered during the 1998 FIFA World Cup. He returned to the field in December, and, as captain, led Lazio in the title race, lost by a single point on the final day of the season. He did, however, win the first two trophies at the international level of his team: the UEFA Cup Winners' Cup, won against Mallorca, and, in August, the European Super Cup over Manchester United.
In the 1999–2000 season he led Lazio to the Scudetto and Coppa Italia, winning the double. During the 2000–01 season, under Dino Zoff, Lazio won the Supercoppa Italiana and finished third in Serie A. Nesta's performances and success for Lazio during this period earned him three consecutive Serie A Defender of the Year awards between 2000 and 2002. Financial problems for Lazio and its then-president Sergio Cragnotti led to the sale of Nesta to Milan in 2002. Nesta left the club with a backlog salary of €2 million, half of which were converted into shares of the Biancocelesti club.
Alessandro Nesta