PalioPronunciation: /ˈpalɪəʊ, ˈpalio/Definition of Palio (plural Palii /-ɪiː, -ii/) a traditional horse race held in Siena twice a year, in July and August: we were her guests for the PalioOrigin:Italian, from Latin pallium 'covering' (with reference to the cloth given as a prize)Palio in other Oxford dictionaries Definition of Palio in the US English dictionary