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Published 13:38 15 Sept 2016 BST
Updated 15:37 15 Sept 2016 BST
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This is not the first time that Di Canio has caused controversy for his political beliefs or has been linked with supporting fascism.
When he took over at Sunderland back in 2013, former Labour politician and one time foreign secretary David Miliband resigned from his post as vice-chairman, citing Di Canio's fascist sympathies as a reason.
Di Canio denied being a fascist at the time, saying: "I'm not a politician, I am not affiliated with any organization, are not a racist and I do not share the ideology of fascism, I respect everyone."
After receiving a ban in 2005 for making a fascist salute towards Lazio fans, Di Canio claimed: "I am a fascist, not a racist".
"I give the straight arm salute because it is a salute from a 'camerata' to 'camerati'," he said, emphasising the use of the Italian word for supporters of former fascist dictator Mussolini.
"The salute is aimed at my people. With the straight arm I don't want to incite violence and certainly not racial hatred."
In his autobiography, Di Canio also described Mussolini as "basically a very principled, ethical individual" and claimed that the former dictator - who allied with Nazi Germany during World War II - was "deeply misunderstood".
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