There are more than one artist with the name Dio. 1. Dio was an Amercian heavy metal band led by vocalist legend Ronnie James Dio. 2. Dio is a Dutch hip hop artist 1) Dio was an American heavy metal band led by vocalist legend Ronnie James Dio, who formed it in 1982 after leaving Black Sabbath. In an interview, available on the special edition re-release of Holy Diver, Dio states that he never intended to begin a solo career. His intention was to form a new band with fellow former Black Sabbath member, drummer Vinny Appice.