Dio is one of three robots sent by Braiking Boss to kill Luna. After the Ruin, he sets his sights on finding Casshern, with Leda at his side.
Dio is a nearly perfect ruthless and talented fighter, unaffected by the Ruin befalling the world. His one (and worst) flaw is his inferiority complex over Casshern; this is his defining trait and his drive throughout the series. Dio and Casshern were created almost by the exact same specifications with similar body structure and skills, and along with Leda were sent on a mission to kill Luna. However identical as they are, Casshern beat him to defeating Luna, a moment that constantly haunts him. Being the "same" yet inferior has devastated him emotionally, and he has come to the conclusion that only by defeating/destroying Casshern (who is considered the strongest person in the world) will he finally be better. This passionate goal of his drives him to fits of anger and ruthlessness towards anyone who gets in his way.
Dio is always accompanied by Leda. A romantic relationship was implied between the two, but over time it becomes clear that Leda is using him to further her own goals, taking advantage of his insecurities by assuring him that she thinks he is better than Casshern. Even after learning of Leda's plans, he ultimately decides that she is important to him regardless.
He cannot stand being compared to Casshern in anyway, and even broke the "horn" on his suit so as to differentiate himself, as many people confuse the two of them.