He is a product of Milan's youth system. After his debut in Serie A with the club when he was just 18, in the 2007-08 season Di Gennaro was loaned to Bologna, which was in Serie B league, where he has the chance to play and gain some first team experience.

He appeared as an unused substitute in a Coppa Italia game against Brescia and in Serie A match against Torino. On May 19, 2007 he made his Serie A debut, coming on as a substitute for Alessandro Costacurta against Udinese.

It was confirmed on June 27, 2007 that Di Gennaro would spend the next on loan at Bologna.

On May 29, 2008 it was confirmed that he was included in the deal that would see Marco Borriello return to Milan and will be co-owned by both clubs. He scored his first goal for Reggina opening the score against Milan in a Serie A match on February.

On June 27th, 2009, Davide Di Gennaro's co-ownership was dissolved, as both Milan and Genoa entered a blind auction to purchase the full rights of the player. The envelope, or blind auction is a method used in Italy to decide the outcome of a player's future when he is co-owned by two clubs. Both clubs make a blind offer, put it in an envelope and submit it to the Lega Calcio who then open the envelope and whoever has the highest bid retains the player. Davide Di Gennaro arrives back in Milan on a permanent basis.