He was born at Prusa (now Bursa) in the roman province of Bithynia (now part of northwestern Turkey). His date of birth is considered to be some time about 40 to 45 AD. He became a Cynic and a Stoic and is considered part of the second Sophist school of Greek philosophers. He apparently lived in Rome during the reign of Titus Flavius as he wrote of a scandalous association that emperor had with the boxer Melankomas. He was a critic of the Emperor Domitian, who banished him from Rome, Italy, and Bithynia in 82 AD for advising one of the Emperor's conspiring relatives. During his exile he apparently travelled widely in the Roman Empire, often dressed in rags and performing manual labour. After Domitian was assassinated in 96 AD, Dio reputedly talked an encampment of roman troops out of a mutiny and persuaded them to accept the will of the roman people. Under Emperor Nerva's reign, his exile was ended and he adopted the surname Cocceianus in later life to honour the support given to him by the emperor, whos full name was Marcus Cocceius Nerva. After Nerva's death he became close friends with the Emperor Trajan. In his later life Dio returned to Prusa, where he apparently had some status, as there are records of him being involved in an uban renewal lawsuit about 111 AD. He is believed to have died some time after 112 AD, possibly 115 to 120 AD.
His Discourses cover a wide range of topics and appear to be written versions of his orations. Some of these may have been prepared for presentation to Trajan on special occasions. Subjects include Kingship, Diogenes' lifestyle, virtue, freedom, slavery, wealth, greed, vice, war, hostilities and peace, good government and other moral issues. He also argued strongly against permitting prostitution.
He was a contemporary of Plutarch, Tacitus and Pliny the Younger. Although he did not write about the christians as such, his philosophy has been considered a moral parallel to that of Paul of Tarsus and indicates that the early greek christians drew upon the Cynic and Stoic philosophies when developing their christian faith.